A modified exchange algorithm for distributional robust optimization and applications in risk management (Q6092503)
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scientific article; zbMATH DE number 7769610
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| English | A modified exchange algorithm for distributional robust optimization and applications in risk management |
scientific article; zbMATH DE number 7769610 |
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A modified exchange algorithm for distributional robust optimization and applications in risk management (English)
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23 November 2023
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semi-definite semi-infinite programming
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exchange method
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distributionally robust optimization
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convergence analysis
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worst optimized certainty equivalent risk
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0.8968127
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0.8796556
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0.8711992
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