An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures.
Sebastian GarreisThomas M. SurowiecMichael UlbrichPublished in: SIAM J. Optim. (2021)
Keyphrases
- risk measures
- risk averse
- constrained optimization problems
- linear programming problems
- optimization problems
- evolutionary algorithm
- differential evolution
- utility function
- stochastic programming
- decision makers
- interior point methods
- linear programming
- portfolio management
- linear program
- expected utility
- combinatorial optimization
- convex optimization
- fitness function
- multiple objectives
- primal dual
- semidefinite programming
- portfolio optimization
- genetic algorithm
- test problems
- robust optimization
- optimization algorithm
- particle swarm optimization
- genetic programming
- simulated annealing
- lower bound
- search algorithm
- objective function