A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization

We present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems and use it to develop a novel algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on their mo...

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Bibliographic Details
Published in:	SIAM journal on optimization Vol. 24; no. 4; pp. 1670 - 1697
Main Authors:	Mehrotra, Sanjay, Papp, Dávid
Format:	Journal Article
Language:	English
Published:	United States SIAM 01.01.2014
Subjects:	Algorithms column generation Convergence Cutting cutting plane methods cutting surface methods distributionally robust optimization Hierarchies MATHEMATICS AND COMPUTING moment matching moment problem Optimization Probability theory Programming robust optimization semi-infinite programming stochastic programming Uncertainty
ISSN:	1052-6234, 1095-7189
Online Access:	Get full text
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