Construction of decision rules in stochastic approximation problems

MaRDI QIDQ1058458zbMATH OpenFDO

Authors D. B. Yudin

Publication date 1984

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

observation-decision information structurerandom parametersstochastic approximationstochastic problems with a posteriori decision rules

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Review text

We consider convex stochastic programming problems in which the decision depends on the realization of random parameters of the conditions. Such one-stage problems with an observation-decision information structure are sometimes called stochastic problems with a posteriori decision rules. In fact, they are infinite-dimensional extremal problems whose study is complicated by considerable computational difficulties. Here, the construction of decision rules for a given realization of the random parameters of the conditions is reduced to solving a finite- dimensional problem. For some particular classes of stochastic problems of practical interest, we present the decision rules in explicit form. With the aid of this approach it is possible to construct operational control algorithms (decision rules instead of iterative procedures).

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Cited in

(1)

• Approximation of decision rules in stochastic programming

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