Approximations of Stochastic Optimization Problems Subject to Measurability Constraints

DOI10.1137/070692376MaRDI QIDQ3648527zbMATH OpenOpenAlexFDO

Authors Michel De Lara, Pierre Carpentier, Jean-Philippe Chancelier

Publication date 27 November 2009

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/070692376

zbMATH Keywords

discretizationmeasurability constraintsstochastic programming

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Stochastic approximation (62L20) Stochastic programming (90C15)

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