Stochastic semidefinite programming: a new paradigm for stochastic optimization

DOI10.1007/S10288-006-0016-2zbMATH Open1125.90393OpenAlexW2097801156MaRDI QIDQ862822FDOQ862822

Authors: Yuntao Zhu, K. A. Ariyawansa 

Publication date: 24 January 2007

Published in: 4OR (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10288-006-0016-2

Recommendations

• A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs
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zbMATH Keywords

Linear programmingSemidefinite programmingStochastic programmingRecourse

Mathematics Subject Classification ID

Interior-point methods (90C51) Semidefinite programming (90C22) Stochastic programming (90C15)

Cites Work

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• Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming
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• Stochastic Programs with Recourse II: On the Continuity of the Objective

Cited In (20)

• A Stochastic Smoothing Algorithm for Semidefinite Programming
• A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming
• SPAR: Stochastic Programming with Adversarial Recourse
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching
• Solution approaches for the stochastic capacitated traveling salesmen location problem with recourse
• Stochastic semidefinite optimization using sampling methods
• Stochastic second-order cone programming in mobile ad hoc networks
• A stochastic approximation method for convex programming with many semidefinite constraints
• Homogeneous self-dual algorithms for stochastic second-order cone programming
• A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs
• Stochastic programming problems involving Pareto distribution
• Regularized sample average approximation for high-dimensional stochastic optimization under low-rankness
• SI-ADMM: A Stochastic Inexact ADMM Framework for Stochastic Convex Programs
• Logarithmic barrier decomposition-based interior point methods for stochastic symmetric programming
• Location-aided routing with uncertainty in mobile ad hoc networks: a stochastic semidefinite programming approach
• On risk-averse stochastic semidefinite programs with continuous recourse
• Title not available (Why is that?)
• Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
• Homogeneous self-dual algorithms for stochastic semidefinite programming
• Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market

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