A Stochastic Primal-Dual Method for Optimization with Conditional Value at Risk Constraints.

Avinash N. Madavan Subhonmesh Bose

Published in: J. Optim. Theory Appl. (2021)

Keyphrases

constrained optimization
pairwise
optimization method
computational complexity
dynamic programming
line search
quadratic programming
linear programming problems
convergence analysis
interior point algorithm