Solving stochastic optimization with expectation constraints efficiently by a stochastic augmented Lagrangian-type algorithm

Liwei Zhang, Yule Zhang, Jia Wu, Xiantao Xiao

Year of publication:	2022
Authors:	Zhang, Liwei ; Zhang, Yule ; Wu, Jia ; Xiao, Xiantao
Published in:	INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 34.2022, 6, p. 2989-3006
Subject:	expectation constrained stochastic program \| expected convergence rate \| high-probability bound \| linearized proximal method of multipliers \| stochastic approximation \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Erwartungsbildung \| Expectation formation \| Algorithmus \| Algorithm \| Rationale Erwartung \| Rational expectations \| Dynamische Optimierung \| Dynamic programming

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1287/ijoc.2022.1228 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014326332