Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
From MaRDI portal
Publication:1013981
DOI10.1007/s10107-008-0214-0zbMath1168.90009OpenAlexW2074499214MaRDI QIDQ1013981
Publication date: 24 April 2009
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-008-0214-0
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (35)
Smoothing sample average approximation method for solving stochastic second-order-cone complementarity problems ⋮ An approximation scheme for a class of risk-averse stochastic equilibrium problems ⋮ An Inexact Bundle Method and Subgradient Computations for Optimal Control of Deterministic and Stochastic Obstacle Problems ⋮ On sample size control in sample average approximations for solving smooth stochastic programs ⋮ A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem ⋮ Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods ⋮ A two-step gradient estimation approach for setting supply chain operating parameters ⋮ Stochastic Nash equilibrium problems: sample average approximation and applications ⋮ Graphical Convergence of Subgradients in Nonconvex Optimization and Learning ⋮ The subdifferential of measurable composite max integrands and smoothing approximation ⋮ Deterministic bicriteria model for stochastic variational inequalities ⋮ A composite risk measure framework for decision making under uncertainty ⋮ On the convergence of coderivative of SAA solution mapping for a parametric stochastic generalized equation ⋮ On the convergence of coderivative of SAA solution mapping for a parametric stochastic variational inequality ⋮ Stability analysis of stochastic programs with second order dominance constraints ⋮ Carbon-efficient deployment of electric rubber-tyred gantry cranes in container terminals with workload uncertainty ⋮ Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming ⋮ A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints ⋮ An approximation scheme for stochastic programs with second order dominance constraints ⋮ Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints ⋮ Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions ⋮ Robust unit commitment with \(n-1\) security criteria ⋮ Consistency analysis of a local Lipschitz homeomorphism of an SAA normal mapping for a parametric stochastic variational inequality ⋮ Stochastic mathematical programs with hybrid equilibrium constraints ⋮ Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming ⋮ Two-stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes ⋮ Optimality functions in stochastic programming ⋮ Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints ⋮ Neural network smoothing approximation method for stochastic variational inequality problems ⋮ Smoothing and sample average approximation methods for solving stochastic generalized Nash equilibrium problems ⋮ Two-Stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse ⋮ A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS ⋮ Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data ⋮ Asymptotic Properties of Stationary Solutions of Coupled Nonconvex Nonsmooth Empirical Risk Minimization ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Solution of nonconvex nonsmooth stochastic optimization problems
- Uniform laws of large numbers for set-valued mappings and subdifferentials of random functions
- A strong law of large numbers for random compact sets
- Sample-path optimization of convex stochastic performance functions
- Implicit smoothing and its application to optimization with piecewise smooth equality constraints
- The empirical behavior of sampling methods for stochastic programming
- Integrals of set-valued functions
- On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
- A Linearization Method for Nonsmooth Stochastic Programming Problems
- An aggregate subgradient method for nonsmooth convex minimization
- Epi‐consistency of convex stochastic programs
- Optimization and nonsmooth analysis
- Monte Carlo sampling approach to stochastic programming
- Analysis of Sample-Path Optimization
- The radius of metric regularity
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Lipschitz Stability for Stochastic Programs with Complete Recourse
- Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
- An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints
- Point-to-Set Maps in Mathematical Programming
- Estimation of Derivatives of Nonsmooth Performance Measures in Regenerative Systems
- A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
- Set-valued analysis
This page was built for publication: Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications