Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation (Q2290926): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation	scientific article

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instance of

scholarly article

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title

Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation (English)

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author

Andrea Rožnjik

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Nataša Krklec Jerinkić

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published in

Numerical Algorithms

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publication date

29 January 2020

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zbMATH Keywords

stochastic optimization

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equality constraints

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sample average approximation

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variable sample size

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quadratic penalty method

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line search

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describes a project that uses

AMLET

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SUTIL

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11075-019-00699-6

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cites work

An adaptive Monte Carlo algorithm for computing mixed logit estimators

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Convergence theory for nonconvex stochastic programming with an application to mixed logit

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Introduction to Stochastic Programming

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Variable-number sample-path optimization

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Hybrid Deterministic-Stochastic Methods for Data Fitting

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Test examples for nonlinear programming codes

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Variable-sample methods for stochastic optimization

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On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling

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The Sample Average Approximation Method for Stochastic Discrete Optimization

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Line search methods with variable sample size for unconstrained optimization

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Nonmonotone line search methods with variable sample size

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Spectral projected gradient method for stochastic optimization

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Variable sample size method for equality constrained optimization problems

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The empirical behavior of sampling methods for stochastic programming

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Q5491447

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On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization

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Efficient sample sizes in stochastic nonlinear programming

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Optimal Budget Allocation for Sample Average Approximation

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A stochastic programming approach for supply chain network design under uncertainty

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Q4830009

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Lectures on Stochastic Programming

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Applications of Stochastic Programming

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Sample average approximation of expected value constrained stochastic programs

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Identifiers

Mathematics Subject Classification ID

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10.1007/S11075-019-00699-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:2290926

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+An adaptive Monte Carlo algorithm for computing mixed logit estimators
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+Convergence theory for nonconvex stochastic programming with an application to mixed logit
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+Introduction to Stochastic Programming
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@@ Property / cites work @@
+Variable-number sample-path optimization
@@ Property / cites work: Variable-number sample-path optimization / rank @@
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+Hybrid Deterministic-Stochastic Methods for Data Fitting
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@@ Property / cites work @@
+Test examples for nonlinear programming codes
@@ Property / cites work: Test examples for nonlinear programming codes / rank @@
+Normal rank
@@ Property / cites work @@
+Variable-sample methods for stochastic optimization
+Normal rank
@@ Property / cites work @@
+On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
+Normal rank
@@ Property / cites work @@
+The Sample Average Approximation Method for Stochastic Discrete Optimization
+Normal rank
@@ Property / cites work @@
+Line search methods with variable sample size for unconstrained optimization
+Normal rank
@@ Property / cites work @@
+Nonmonotone line search methods with variable sample size
+Normal rank
@@ Property / cites work @@
+Spectral projected gradient method for stochastic optimization
+Normal rank
@@ Property / cites work @@
+Variable sample size method for equality constrained optimization problems
+Normal rank
@@ Property / cites work @@
+The empirical behavior of sampling methods for stochastic programming
+Normal rank
@@ Property / cites work @@
+Q5491447
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+Normal rank
@@ Property / cites work @@
+On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization
+Normal rank
@@ Property / cites work @@
+Efficient sample sizes in stochastic nonlinear programming
+Normal rank
@@ Property / cites work @@
+Optimal Budget Allocation for Sample Average Approximation
+Normal rank
@@ Property / cites work @@
+A stochastic programming approach for supply chain network design under uncertainty
+Normal rank
@@ Property / cites work @@
+Q4830009
@@ Property / cites work: Q4830009 / rank @@
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Stochastic Programming
@@ Property / cites work: Applications of Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Sample average approximation of expected value constrained stochastic programs
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