Primal-dual hybrid gradient method for distributionally robust optimization problems
Yongchao Liu, Xiaoming Yuan, Shangzhi Zeng, Jin Zhang
| Year of publication: |
November 2017
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|---|---|
| Authors: | Liu, Yongchao ; Yuan, Xiaoming ; Zeng, Shangzhi ; Zhang, Jin |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 45.2017, 6, p. 625-630
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| Subject: | Distributionally robust optimization | Discretization method | Primal-dual hybrid gradient | Moment conditions | Wasserstein metric | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Robustes Verfahren | Robust statistics |