An algorithm for approximating piecewise linear concave functions from sample gradients

DOI10.1016/S0167-6377(02)00187-6zbMath1031.90024MaRDI QIDQ1870009

Warren B. Powell, Huseyin Topaloglu

Publication date: 4 May 2003

Published in: Operations Research Letters (Search for Journal in Brave)

zbMATH Keywords

ApproximationAlmost sure convergenceConcave functionsStochastic gradient methods

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Methods of reduced gradient type (90C52)

Related Items (6)

Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming ⋮ Concave regression: value-constrained estimation and likelihood ratio-based inference ⋮ An Approximate Dynamic Programming Algorithm for Monotone Value Functions ⋮ Decomposing inventory routing problems with approximate value functions ⋮ An effective linear approximation method for separable programming problems ⋮ Sparse Convex Regression

Cites Work

• Unnamed Item
• Convergence analysis of some methods for minimizing a nonsmooth convex function
• Inexact subgradient methods with applications in stochastic programming
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• An Adaptive, Distribution-Free Algorithm for the Newsvendor Problem with Censored Demands, with Applications to Inventory and Distribution
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• An Adaptive Dynamic Programming Algorithm for Dynamic Fleet Management, I: Single Period Travel Times
• Subdifferential Convergence in Stochastic Programs

This page was built for publication: An algorithm for approximating piecewise linear concave functions from sample gradients