Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints
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DOI: 10.1287/opre.2016.1521
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Cited by:
- 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.
- Jianming Xia, 2023. "Benchmark Beating with the Increasing Convex Order," Papers 2311.01692, arXiv.org.
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Keywords
stochastic order; risk; multivariate dominance relation; increasing convex order; duality; optimization;All these keywords.
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