A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs.
Daniel G. EspinozaEduardo MorenoPublished in: Comput. Optim. Appl. (2014)
Keyphrases
- primal dual
- linear program
- linear programming
- linear programming problems
- affine scaling
- simplex algorithm
- simplex method
- dynamic programming
- interior point algorithm
- convergence rate
- convex optimization
- interior point methods
- interior point
- approximation algorithms
- optimal solution
- strongly polynomial
- semidefinite programming
- variational inequalities
- extreme points
- nelder mead
- algorithm for linear programming
- learning algorithm
- np hard
- objective function
- dual formulation
- convex hull
- mixed integer linear program
- quadratic programming
- search direction
- convex programming
- column generation
- computationally intensive
- worst case
- computational complexity
- reinforcement learning