Discrete Approximation Scheme in Distributionally Robust Optimization

DOI10.4208/nmtma.OA-2020-0125zbMath1488.90246OpenAlexW3122590668MaRDI QIDQ5017505

Jin Zhang, Yong-Chao Liu, Xiao-Ming Yuan

Publication date: 17 December 2021

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.oa-2020-0125

zbMATH Keywords

distributionally robust optimizationdiscrete approximation methodquantitative stability analysisHoffman lemmastochastic primal-dual hybrid gradient algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Robustness in mathematical programming (90C17)

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