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math.OC2023
Stochastic First-Order Algorithms for Constrained Distributionally Robust Optimization
Hyungki Im, Paul Grigas
We consider distributionally robust optimization (DRO) problems, reformulated as distributionally robust feasibility (DRF) problems, with multiple expectation constraints. We propo…
math.OC2023
On the Softplus Penalty for Constrained Convex Optimization
Meng Li, Paul Grigas, Alper Atamturk
We study a new penalty reformulation of constrained convex optimization based on the softplus penalty function. We develop novel and tight upper bounds on the objective value gap a…