An operator splitting method with specialized CVaR projection solves large CVaR-constrained QPs orders of magnitude faster than general solvers up to millions of scenarios.
On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators,
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An Operator Splitting Method for Large-Scale CVaR-Constrained Quadratic Programs
An operator splitting method with specialized CVaR projection solves large CVaR-constrained QPs orders of magnitude faster than general solvers up to millions of scenarios.