Nonlinear stochastic programming by Monte-Carlo estimators

DOI10.1016/S0377-2217(01)00109-6zbMath1029.90050MaRDI QIDQ1600865

Leonidas L. Sakalauskas

Publication date: 16 June 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodKuhn-Tucker conditionsstatistical hypothesis

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15)

Related Items (6)

A primal-dual algorithm for risk minimization ⋮ Simultaneous perturbation stochastic approximation of nonsmooth functions ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Extensions of stochastic optimization results to problems with system failure probability functions ⋮ Optimality functions in stochastic programming ⋮ Optimizing maintenance service contracts through mechanism design theory

Cites Work

• Analysis of variance
• Asymptotic properties of statistical estimators in stochastic programming
• Optimal bounds in non-Gaussian limit theorems for \(U\)-statistics
• Monte Carlo Approximations in Bayesian Decision Theory
• The simplicial approximation approach to design centering
• Globally convergent stochastic optimization with optimal asymptotic distribution
• A centering by the monte-carlo method
• Smoothed Functionals in Stochastic Optimization
• Robustness to non-normality of regression tests
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