A method for searching for a stochastic saddle point with constraints satisfied almost surely.

zbMath1039.90048MaRDI QIDQ1348537

D. D. Solomakhin, Natalia M. Novikova, Malcolm R. Davidson

Publication date: 14 May 2002

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

zbMATH Keywords

stochastic programmingminimization problemstochastic saddle point problem

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) 2-person games (91A05)

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