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A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization.
Sanjay Mehrotra
Dávid Papp
Published in:
SIAM J. Optim. (2014)
Keyphrases
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learning algorithm
robust optimization
optimal solution
dynamic programming
linear programming
convex optimization
mathematical programming
semidefinite programming
convex programming
np hard
worst case
convergence rate