A Primal-Dual Algorithm for Faster Distributionally Robust Optimization.

Ronak Mehta Jelena Diakonikolas Zaïd Harchaoui

Published in: CoRR (2024)

Keyphrases

robust optimization
chance constrained
stochastic programming
mathematical programming
portfolio optimization
risk measures
artificial intelligence
decision theory
chance constraints
lower bound
dimensionality reduction
metaheuristic
lot sizing
semidefinite programming