Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball.
Yu MeiJia LiuZhiping ChenPublished in: SIAM J. Optim. (2022)
Keyphrases
- constrained optimization
- stochastic dominance
- constrained optimization problems
- constraint handling
- unconstrained optimization
- random variables
- robust optimization
- penalty function
- augmented lagrangian
- objective function
- interval analysis
- inequality constraints
- pointwise
- fuzzy random variables
- lagrange multiplier method
- lagrange multipliers
- closed form solutions
- penalty functions
- convergence rate
- image segmentation