Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints.
Ariel NeufeldQikun XiangPublished in: CoRR (2022)
Keyphrases
- robust optimization
- numerical methods
- chance constraints
- optimal solution
- chance constrained
- stochastic programming
- mathematical programming
- differential equations
- search space
- semidefinite programming
- partial differential equations
- boundary element method
- np hard
- decision theory
- linear programming
- probability distribution
- lower bound