Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear Optimization.
Harsha GangammanavarManish BansalPublished in: SIAM J. Optim. (2022)
Keyphrases
- decomposition method
- robust optimization
- stochastic programming
- chance constraints
- chance constrained
- stochastic optimization
- tree decomposition
- decomposition algorithm
- decomposition methods
- optimization algorithm
- monte carlo
- global optimization
- multistage
- linear constraints
- semidefinite
- optimization problems
- simultaneous optimization
- highly non linear
- quadratic program
- search space
- neural network
- image sequences
- simple linear
- objective function
- search algorithm
- robust estimation
- optimization methods
- computationally efficient