Efficient Algorithms for Distributionally Robust Stochastic Optimization with Discrete Scenario Support

DOI10.1137/19M1290115zbMath1472.90080arXiv1909.11216MaRDI QIDQ5003210

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Publication date: 20 July 2021

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.11216

zbMATH Keywords

stochastic programmingconvex optimizationsmoothingdistributionally robust optimizationbundle levelprimal-dual smoothing

Mathematics Subject Classification ID

Convex programming (90C25) Minimax problems in mathematical programming (90C47) Numerical methods involving duality (49M29) Stochastic programming (90C15) Decomposition methods (49M27) Robustness in mathematical programming (90C17)

Related Items (3)

Frameworks and results in distributionally robust optimization ⋮ Optimal Methods for Convex Risk-Averse Distributed Optimization ⋮ Distributionally robust optimization with moment ambiguity sets

Uses Software

• SUTIL

Cites Work

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