Confidence level solutions for stochastic programming

DOI10.1016/j.automatica.2008.01.017zbMath1283.93314OpenAlexW1980412153MaRDI QIDQ2440765

Jean-Philippe Vial, Yu. E. Nesterov

Publication date: 19 March 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:5864

zbMATH Keywords

stochastic programmingcomplexity estimatestochastic subgradient

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

Related Items

Statistical inference for model parameters in stochastic gradient descent, Semi-discrete optimal transport: hardness, regularization and numerical solution, Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction, Unnamed Item, Bridging the gap between constant step size stochastic gradient descent and Markov chains, Step decision rules for multistage stochastic programming: a heuristic approach, A simple randomised algorithm for convex optimisation, On variance reduction for stochastic smooth convex optimization with multiplicative noise, Multi-service multi-facility network design under uncertainty, Deterministic and stochastic primal-dual subgradient algorithms for uniformly convex minimization

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• A simulation-based approach to two-stage stochastic programming with recourse
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Step decision rules for multistage stochastic programming: a heuristic approach
• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• On complexity of multistage stochastic programs
• On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• On the Convergence of Algorithms with Implications for Stochastic and Nondifferentiable Optimization
• Introduction to Stochastic Programming
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Probability Inequalities for Sums of Bounded Random Variables