Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods

DOI10.1007/s10107-017-1143-6zbMath1391.90449OpenAlexW2606883349WikidataQ59526032 ScholiaQ59526032MaRDI QIDQ1646571

Huifu Xu, Hailin Sun, Yong-Chao Liu

Publication date: 25 June 2018

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-017-1143-6

zbMATH Keywords

strong dualitycutting plane methodsrandom discretizationlower semicontinuity conditionsmatrix moment constraintsSlater type conditions

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15)

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Uses Software

• SDPT3
• ROME

Cites Work

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