A primal-dual algorithm for risk minimization
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Publication:2133418
DOI10.1007/S10107-020-01608-9zbMATH Open1500.90035OpenAlexW3128112448MaRDI QIDQ2133418FDOQ2133418
Authors: D. P. Kouri, Thomas Surowiec 
Publication date: 29 April 2022
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-020-01608-9
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Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Optimal stochastic control (93E20)
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Cited In (14)
- Risk-averse PDE-constrained optimization using the conditional value-at-risk
- Epi-regularization of risk measures
- Finite elements for Matérn-type random fields: uncertainty in computational mechanics and design optimization
- Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
- A multigrid solver for PDE-constrained optimization with uncertain inputs
- Risk-adapted optimal experimental design
- An adaptive sampling augmented Lagrangian method for stochastic optimization with deterministic constraints
- Probability-of-failure-based optimization for random PDEs through concentration-of-measure inequalities
- A stochastic primal-dual method for optimization with conditional value at risk constraints
- Risk-averse optimal control model under uncertainty and its modified progressive hedging algorithm
- Generalized Nash equilibrium problems with partial differential operators: theory, algorithms, and risk aversion
- A Locally Adapted Reduced-Basis Method for Solving Risk-Averse PDE-Constrained Optimization Problems
- Convex risk minimization via proximal splitting methods
- Optimal Methods for Convex Risk-Averse Distributed Optimization
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