An algorithm for constrained nonlinear optimization under uncertainty
DOI10.1016/S0005-1098(98)00150-2zbMATH Open0966.90074OpenAlexW2070871865MaRDI QIDQ1295084FDOQ1295084
Authors: V. Pereyra 
Publication date: 20 August 2001
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0005-1098(98)00150-2
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uncertaintynonlinear programmingsequential quadratic programmingmean-variance analysisrisk managementrobust optimizationGoldstein-Levitin-Polyak algorithm
Methods of successive quadratic programming type (90C55) Nonlinear programming (90C30) Dynamic programming (90C39)
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