On the convergence of sampling algorithms for solving dynamic stochastic programming

MaRDI QIDQ2721958zbMATH OpenFDO

Authors Zhiping Chen

Publication date 11 July 2001

Published in Systems Science and Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

epi-convergencesemicontinuitystochastic programming

Mathematics Subject Classification ID

Methods involving semicontinuity and convergence; relaxation (49J45) Stochastic programming (90C15) Optimal stochastic control (93E20)

Review text

The continuous multistage stochastic programming problem is considered. A finite approximation of the problem is constructed by means of sampling discrete points from the original sample space. The analysis is based on classical results on epi-convergence of equi-lower semicontinuous normal integrands. The known results on the two-stage and linear problems are generalised. The results presented in the paper may be useful also for the construction of new algorithms of the considered class.

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Cited in

(18)

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• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
• On the convergence of sampling-based decomposition algorithms for multistage stochastic programs
• MIDAS: a mixed integer dynamic approximation scheme
• On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
• Sequential importance sampling algorithms for dynamic stochastic programming
• Stopping rules for a class of sampling-based stochastic programming algorithms
• Finite convergence in stochastic programming
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• scientific article; zbMATH DE number 1487999 (Why is no real title available?)
• Beyond Chance-Constrained Convex Mixed-Integer Optimization: A Generalized Calafiore-Campi Algorithm and the notion of $S$-optimization
• Comparison of Sampling Methods for Dynamic Stochastic Programming
• GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS
• Provably Near-Optimal Approximation Schemes for Implicit Stochastic and Sample-Based Dynamic Programs
• Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
• On the convergence of decomposition methods for multistage stochastic convex programs
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures

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