Splitting algorithms for distributionally robust optimization

MaRDI QIDQ7034756zbMATH OpenFDO

Authors Luis M. Briceño-Arias, Sergio López Rivera, E. Vilches

Publication date 31 January 2025

Published in Journal of Convex Analysis (Search for Journal in Brave)

Full work available at URL https://www.heldermann.de/JCA/JCA32/JCA321/jca32013.htm#jca321

zbMATH Keywords

distributionally robust optimizationproximal mappingsplitting algorithmssupremum function

Mathematics Subject Classification ID

Monotone operators and generalizations (47H05) Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Robustness in mathematical programming (90C17) Convex programming (90C25) Minimax problems in mathematical programming (90C47)

Cites work

• A Newton's method for the continuous quadratic knapsack problem
• A perturbation framework for convex minimization and monotone inclusion problems with nonlinear compositions
• A primal-dual partial inverse algorithm for constrained monotone inclusions: applications to stochastic programming and mean field games
• A projected primal-dual method for solving constrained monotone inclusions
• A three-operator splitting scheme and its optimization applications
• Convex analysis and monotone operator theory in Hilbert spaces
• Distributed forward-backward methods for ring networks
• Distributionally Robust Convex Optimization
• Forward-Douglas–Rachford splitting and forward-partial inverse method for solving monotone inclusions
• Lectures on stochastic programming. Modeling and theory
• Moreau Envelope of Supremum Functions with Applications to Infinite and Stochastic Programming
• Risk-averse stochastic programming and distributionally robust optimization via operator splitting
• Robust Optimization in Electric Energy Systems

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