Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm.
Liwei ZhangYule ZhangJia WuXiantao XiaoPublished in: INFORMS J. Comput. (2022)
Keyphrases
- stochastic optimization
- augmented lagrangian
- constrained optimization
- linear programming problems
- computational complexity
- cost function
- worst case
- optimization algorithm
- constraint programming
- multistage
- objective function
- np hard
- active contours
- combinatorial optimization
- particle swarm optimization
- convergence rate
- dynamic programming
- simplex method
- search space
- optimal solution