Convex approximations in stochastic programming by semidefinite programming.
István DeákImre PólikAndrás PrékopaTamás TerlakyPublished in: Ann. Oper. Res. (2012)
Keyphrases
- stochastic programming
- semidefinite programming
- semidefinite
- robust optimization
- linear program
- linear programming
- positive semidefinite
- multistage
- primal dual
- quadratically constrained quadratic
- interior point methods
- kernel matrix
- convex relaxation
- convex optimization
- maximum margin
- low rank
- convex hull
- feature selection
- linear matrix inequality
- probability distribution
- dynamic programming
- objective function