A numerical method for solving stochastic programming problems with moment constraints on a distribution function

DOI10.1007/BF02204857zbMath0742.90062MaRDI QIDQ1176853

S. Singh

Publication date: 25 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

moment problem; minimax problems; incomplete information; stochastic quasigradient method; complete recourse

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C15: Stochastic programming

62L20: Stochastic approximation

90-08: Computational methods for problems pertaining to operations research and mathematical programming

Related Items

Algorithms for the solution of stochastic dynamic minimax problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Normalized convergence in stochastic optimization
• Robust pseudogradient adaptation algorithms
• Stochastic programs with recourse: An upper bound and the related moment problem
• stochastic quasigradient methods and their application to system optimization^†
• Stochastic Optimization Problems with Incomplete Information on Distribution Functions
• A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems
• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• A tight upper bound for the expectation of a convex function of a multivariate random variable
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Algorithms for stochastic programs: The case of nonstochastic tenders
• Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
• Stability in Two-Stage Stochastic Programming
• Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
• Stochastic Programs with Incomplete Information
• Convex Analysis
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming