Stochastic multiobjective optimization: Sample average approximation and applications

DOI10.1007/s10957-011-9859-6zbMath1263.90048OpenAlexW2084802973MaRDI QIDQ650222

Jörg Fliege, Huifu Xu

Publication date: 25 November 2011

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-011-9859-6

zbMATH Keywords

scalarizationexponential convergenceefficient solutionstochastic multiobjective programmingsample average approximation

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15)

Related Items (10)

A biobjective chance constrained optimization model to evaluate the economic and environmental impacts of biopower supply chains ⋮ Non-convex multiobjective optimization under uncertainty: a descent algorithm. Application to sandwich plate design and reliability ⋮ A stochastic multiple gradient descent algorithm ⋮ Descent algorithm for nonsmooth stochastic multiobjective optimization ⋮ Adaptive sampling stochastic multigradient algorithm for stochastic multiobjective optimization ⋮ A stochastic dynamic multiobjective model for sustainable decision making ⋮ Stochastic optimization over a Pareto set associated with a stochastic multi-objective optimization problem ⋮ Robust multiobjective optimization \& applications in portfolio optimization ⋮ Inverse multiobjective optimization: inferring decision criteria from data ⋮ Optimization over the Pareto outcome set associated with a convex bi-objective optimization problem: theoretical results, deterministic algorithm and application to the stochastic case

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems
• Multicriteria approach to bilevel optimization
• Sample average approximation of expected value constrained stochastic programs
• Multiobjective optimization problems with equilibrium constraints
• Theory of multiobjective optimization
• Weighting factor results in vector optimization
• Asymptotic analysis of stochastic programs
• Quantitative stability in stochastic programming
• Sample-path optimization of convex stochastic performance functions
• Multiobjective optimization problem with variational inequality constraints
• Nonlinear multiobjective optimization. A generalized homotopy approach
• Gap-free computation of Pareto-points by quadratic scalarizations
• An improved algorithm for solving biobjective integer programs
• Stochastic Nash equilibrium problems: sample average approximation and applications
• Proper efficiency and the theory of vector maximization
• Cone convexity, cone extreme points, and nondominated solutions in decision problems with multiobjectives
• A Linearization Method for Nonsmooth Stochastic Programming Problems
• A Stochastic Multiple-Leader Stackelberg Model: Analysis, Computation, and Application
• Epi‐consistency of convex stochastic programs
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• Normal-Boundary Intersection: A New Method for Generating the Pareto Surface in Nonlinear Multicriteria Optimization Problems
• Analysis of Sample-Path Optimization
• Lipschitz Stability for Stochastic Programs with Complete Recourse
• An Efficient Interior-Point Method for Convex Multicriteria Optimization Problems
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• Set-valued analysis
• Convergence properties of two-stage stochastic programming
• Efficient solution concepts and their relations in stochastic multiobjective programming

This page was built for publication: Stochastic multiobjective optimization: Sample average approximation and applications