GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS

DOI10.1081/NFA-120014749MaRDI QIDQ4787838zbMATH OpenOpenAlexFDO

Authors Zhiping Chen, Cheng-Xian Xu

Publication date 8 January 2003

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/nfa-120014749

zbMATH Keywords

samplingtreenormal integrandEpi-convergenceequi-lower semicontinuitydynamic stochastic programs

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20)

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Cites work

• A tolerant algorithm for linearly constrained optimization calculations
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Asymptotic analysis of stochastic programs
• Convex Analysis
• Measures as Lagrange multipliers in multistage stochastic programming
• Multistage Stochastic Programming with Recourse As Mathematical Programming in an $L_p $ Space
• On the Convergence in Distribution of Measurable Multifunctions (Random Sets) Normal Integrands, Stochastic Processes and Stochastic Infima
• On the relations between two types of convergence for convex functions
• Random test problems and parallel methods for quadratic programs and quadratic stochastic programs^∗
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications

Cited in

(6)

• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• Comparison of Sampling Methods for Dynamic Stochastic Programming
• Scenario tree generation approaches using K-means and LP moment matching methods
• On the convergence of sampling algorithms for solving dynamic stochastic programming
• scientific article; zbMATH DE number 7733446 (Why is no real title available?)

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