Stochastic programming with primal-dual dynamics: a mean-field game approach.
Casper T. RölingStefanny RamirezDario BausoHamidou TembinePublished in: Optim. Lett. (2023)
Keyphrases
- stochastic programming
- primal dual
- linear program
- linear programming
- chance constrained
- affine scaling
- linear programming problems
- interior point methods
- semidefinite programming
- interior point algorithm
- simplex algorithm
- optimal solution
- asset liability management
- algorithm for linear programming
- multistage
- np hard
- nash equilibrium
- dynamic programming
- mixed integer
- markov random field
- game theory
- objective function
- approximation algorithms
- belief networks
- dynamical systems
- convex optimization
- column generation
- convergence rate
- mathematical programming
- combinatorial optimization
- integer program
- pairwise