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

Avinash N. MadavanSubhonmesh 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