Efficient Algorithms for Distributionally Robust Stochastic Optimization with Discrete Scenario Support (Q5003210): Difference between revisions

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scientific article; zbMATH DE number 7372960

Language	Label	Description	Also known as
English	Efficient Algorithms for Distributionally Robust Stochastic Optimization with Discrete Scenario Support	scientific article; zbMATH DE number 7372960

Statements

instance of

scholarly article

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title

Efficient Algorithms for Distributionally Robust Stochastic Optimization with Discrete Scenario Support (English)

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published in

SIAM Journal on Optimization

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publication date

20 July 2021

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full work available at URL

https://arxiv.org/abs/1909.11216

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zbMATH Keywords

stochastic programming

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convex optimization

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distributionally robust optimization

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smoothing

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bundle level

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primal-dual smoothing

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describes a project that uses

SUTIL

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MaRDI profile type

MaRDI publication profile

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cites work

First-Order Methods in Optimization

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Non-Euclidean restricted memory level method for large-scale convex optimization

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Lectures on Modern Convex Optimization

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Data-driven robust optimization

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On the ergodic convergence rates of a first-order primal-dual algorithm

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Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems

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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

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Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization

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Gradient sliding for composite optimization

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First-order and stochastic optimization methods for machine learning

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New variants of bundle methods

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The empirical behavior of sampling methods for stochastic programming

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Primal-dual hybrid gradient method for distributionally robust optimization problems

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Information-based complexity of linear operator equations

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Smooth minimization of non-smooth functions

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Lower complexity bounds of first-order methods for convex-concave bilinear saddle-point problems

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Q5702553

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Approximations for Probability Distributions and Stochastic Optimization Problems

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Quantitative stability analysis for minimax distributionally robust risk optimization

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On a Class of Minimax Stochastic Programs

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Lectures on Stochastic Programming

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Data-driven risk-averse stochastic optimization with Wasserstein metric

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Identifiers

zbMATH Open document ID

1472.90080

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DOI

10.1137/19M1290115

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Data-driven robust optimization
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+On the ergodic convergence rates of a first-order primal-dual algorithm
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+Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
+Normal rank
@@ Property / cites work @@
+Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
+Normal rank
@@ Property / cites work @@
+Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization
+Normal rank
@@ Property / cites work @@
+Gradient sliding for composite optimization
@@ Property / cites work: Gradient sliding for composite optimization / rank @@
+Normal rank
@@ Property / cites work @@
+First-order and stochastic optimization methods for machine learning
+Normal rank
@@ Property / cites work @@
+New variants of bundle methods
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+Normal rank
@@ Property / cites work @@
+The empirical behavior of sampling methods for stochastic programming
+Normal rank
@@ Property / cites work @@
+Primal-dual hybrid gradient method for distributionally robust optimization problems
+Normal rank
@@ Property / cites work @@
+Information-based complexity of linear operator equations
+Normal rank
@@ Property / cites work @@
+Smooth minimization of non-smooth functions
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+Lower complexity bounds of first-order methods for convex-concave bilinear saddle-point problems
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+Approximations for Probability Distributions and Stochastic Optimization Problems
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@@ Property / cites work @@
+Quantitative stability analysis for minimax distributionally robust risk optimization
+Normal rank
@@ Property / cites work @@
+On a Class of Minimax Stochastic Programs
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+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
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+Data-driven risk-averse stochastic optimization with Wasserstein metric
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