An operator splitting method for large-scale CVaR-constrained quadratic programs

DOI10.1007/S11081-026-10091-8MaRDI QIDQ7404376zbMATH OpenFDO

Authors Eric Luxenberg, David Pérez-Piñeiro, Steven Diamond, Stephen Boyd

Publication date 2026

Published in Optimization and Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11081-026-10091-8

zbMATH Keywords

ADMMconditional value-at-riskCVaR projectionquadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20)

Cites work

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• The Isotonic Regression Problem and Its Dual
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