Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear Optimization
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Publication:5097017
DOI10.1137/20M1378600zbMath1497.90140arXiv2011.08376MaRDI QIDQ5097017
Manish Bansal, Harsha Gangammanavar
Publication date: 19 August 2022
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.08376
stochastic programmingcutting plane methodsequential samplingstochastic decompositiondistributionally robust optimization
Large-scale problems in mathematical programming (90C06) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Robustness in mathematical programming (90C17)
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