A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization
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Publication:5245362
DOI10.1137/130925013zbMath1330.90119arXiv1306.3437OpenAlexW2128244396MaRDI QIDQ5245362
Publication date: 8 April 2015
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.3437
moment problemstochastic programmingcolumn generationsemi-infinite programmingrobust optimizationmoment matchingdistributionally robust optimizationcutting plane methodscutting surface methods
Convex programming (90C25) Applications of mathematical programming (90C90) Linear programming (90C05) Stochastic programming (90C15) Semi-infinite programming (90C34) Numerical quadrature and cubature formulas (65D32)
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