An Approximation Scheme for Distributionally Robust Nonlinear Optimization
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Publication:5116546
DOI10.1137/19M1263121zbMATH Open1448.90068OpenAlexW3045847061MaRDI QIDQ5116546FDOQ5116546
Authors: Johannes Milz, Michael Ulbrich 
Publication date: 18 August 2020
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1263121
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Optimality conditions and duality in mathematical programming (90C46) Approximation methods and heuristics in mathematical programming (90C59) Nonconvex programming, global optimization (90C26) Numerical methods based on nonlinear programming (49M37) Robustness in mathematical programming (90C17)
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Cited In (9)
- SOCP based variance free Dantzig selector with application to robust estimation
- One-shot learning of surrogates in PDE-constrained optimization under uncertainty
- On the polynomial solvability of distributionally robust k-sum optimization
- Distributionally Robust Linear and Discrete Optimization with Marginals
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- Derivative-free robust optimization by outer approximations
- Tractable approximation to robust nonlinear production frontier problem
- Distributionally robust stochastic variational inequalities
- An approximation scheme for distributionally robust PDE-constrained optimization
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