Confidence level solutions for stochastic programming

DOI10.1016/J.AUTOMATICA.2008.01.017zbMath1283.93314OpenAlexW1980412153MaRDI QIDQ2440765

Jean-Philippe Vial, Yu. E. Nesterov

Publication date: 19 March 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:5864

zbMATH Keywords

stochastic programmingcomplexity estimatestochastic subgradient

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

Cites Work

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• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• On complexity of multistage stochastic programs
• On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• On the Convergence of Algorithms with Implications for Stochastic and Nondifferentiable Optimization
• Introduction to Stochastic Programming
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Probability Inequalities for Sums of Bounded Random Variables

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