Implementable algorithm for stochastic optimization using sample average approximations

DOI10.1023/B:JOTA.0000041734.06199.71zbMath1129.90334OpenAlexW2055661359MaRDI QIDQ852151

Johannes O. Royset, Elijah Polak

Publication date: 27 November 2006

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

Full work available at URL: https://doi.org/10.1023/b:jota.0000041734.06199.71

zbMATH Keywords

stochastic optimizationMonte Carlo simulationssample average approximationsreliability-based optimal designs

Mathematics Subject Classification ID

Stochastic programming (90C15) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

Related Items (18)

A discussion of probability functions and constraints from a variational perspective ⋮ On sample size control in sample average approximations for solving smooth stochastic programs ⋮ Computational methods in optimization considering uncertainties - An overview ⋮ An efficient framework for optimal robust stochastic system design using stochastic simulation ⋮ Gradient formulae for probability functions depending on a heterogenous family of constraints ⋮ A survey on approaches for reliability-based optimization ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Probability functions generated by set-valued mappings: a study of first order information ⋮ An approximation scheme for uncertain minimax optimal control problems ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Reliability-based optimization of stochastic systems using line search ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Extensions of stochastic optimization results to problems with system failure probability functions ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ Advances and applications of chance-constrained approaches to systems optimisation under uncertainty ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets

Uses Software

• Matlab
• Optimization Toolbox

Cites Work

• A simulation-based approach to two-stage stochastic programming with recourse
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Optimization. Algorithms and consistent approximations
• Solving stochastic structural optimization problems by RSM-based stochastic approximation methods -- gradient estimation in case of intermediate variables
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Introduction to Stochastic Programming
• Time-variant reliability-based structural optimization using sorm
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Convergence of stochastic processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Implementable algorithm for stochastic optimization using sample average approximations