Convex approximations in stochastic programming by semidefinite programming

DOI10.1007/S10479-011-0986-0MaRDI QIDQ1931652zbMATH OpenOpenAlexFDO

Authors I. Deák, Imre Pólik, András Prékopa, Tamás Terlaky

Publication date 15 January 2013

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-011-0986-0

zbMATH Keywords

stochastic optimizationsemidefinite optimizationconvex approximationsuccessive regression approximations

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stochastic programming (90C15)

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Cites work

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• scientific article; zbMATH DE number 1960272 (Why is no real title available?)
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• Computing Maximum Likelihood Estimators of Convex Density Functions
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Semidefinite Programming
• Solving stochastic programming problems by successive regression approximations -- numerical results
• Solving two-stage stochastic programming problems with level decomposition
• Testing successive regression approximations by large-scale two-stage problems
• Two-stage stochastic problems with correlated normal variables: computational experiences
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

Cited in

(11)

• Convex stochastic fluid programs with average cost.
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• Semiconvex regression for metamodeling-based optimization
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching
• scientific article; zbMATH DE number 3858861 (Why is no real title available?)
• The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification
• A Stochastic Smoothing Algorithm for Semidefinite Programming
• Conditioning of convex piecewise linear stochastic programs
• Solving stochastic convex feasibility problems in hilbert spaces
• Vaidya's method for convex stochastic optimization problems in small dimension
• scientific article; zbMATH DE number 4051350 (Why is no real title available?)

Describes a project that uses

Uses Software

• SeDuMi
• YALMIP

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