An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems
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DOI: 10.1287/ijoc.2020.1001
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- Liwei Zhang & Yule Zhang & Jia Wu & Xiantao Xiao, 2022. "Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 2989-3006, November.
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Keywords
chance-constrained optimization problem; finite discrete distribution; alternating direction method of multipliers; augmented Lagrangian algorithm; first-order stationary point;All these keywords.
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