Primal-Dual Algorithms for Optimization with Stochastic Dominance

DOI10.1137/141001251zbMath1453.90107OpenAlexW2568756996MaRDI QIDQ2954172

Z. Max Shen, J. George Shanthikumar, William B. Haskell

Publication date: 12 January 2017

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/141001251

zbMATH Keywords

stochastic optimizationAzuma-Hoeffding inequalityempirical algorithms

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

The CoMirror algorithm with random constraint sampling for convex semi-infinite programming ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ An inexact primal-dual algorithm for semi-infinite programming

Uses Software

• AdaGrad

Cites Work

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