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Revision as of 17:13, 12 February 2024
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English | Optimality functions in stochastic programming |
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Optimality functions in stochastic programming (English)
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15 October 2012
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A stochastic programming problem is considered with nonlinear and possibly non-convex expected value objective and constraint functions. The concept of an optimality function is extended to stochastic programs, and applied to evaluate the quality of a candidate solution by means of confidence intervals. An algorithm is proposed which almost surely converges to a stationary (in the sense of Fritz-John conditions) point. Several numerical examples are included.
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stochastic programming
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optimality conditions
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algorithm
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convergence
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