A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization
نویسندگان
چکیده
منابع مشابه
A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization
We first present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems, and use it to develop an algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on their moments. The cutting surface algorithm is also applicable to problems with non-differentiable sem...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2014
ISSN: 1052-6234,1095-7189
DOI: 10.1137/130925013