Convergence theory for nonconvex stochastic programming with an application to mixed logit

DOI10.1007/S10107-006-0708-6MaRDI QIDQ2502199zbMATH OpenOpenAlexWikidataFDO

Authors Fabian Bastin, Cinzia Cirillo, Philippe L. Toint

Publication date 12 September 2006

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-006-0708-6

Mathematics Subject Classification ID

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

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• On practical conditions for the existence and uniqueness of solutions to the general equality quadratic programming problem
• Properties of a representation of a basis for the null space
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Cited in

(24)

• Adjoint-based Monte Carlo calibration of financial methods
• Stochastic polynomial optimization
• Formulation and solution strategies for nonparametric nonlinear stochastic programmes with an application in finance
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• On the scenario-tree optimal-value error for stochastic programming problems
• Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation
• Asymptotic behavior of solutions: an application to stochastic NLP
• Nonmonotone line search methods with variable sample size
• A unified approach to uncertain optimization
• On shape optimization with stochastic loadings
• Optimality functions in stochastic programming
• On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
• Two stochastic optimization algorithms for convex optimization with fixed point constraints
• Stochastic Quasi-Newton Methods for Nonconvex Stochastic Optimization
• Penalty methods with stochastic approximation for stochastic nonlinear programming
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• A single timescale stochastic quasi-Newton method for stochastic optimization
• Spectral projected gradient method for stochastic optimization
• Log-concavity of compound distributions with applications in stochastic optimization
• Multi-objective retrospective optimization using stochastic zigzag search
• The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification
• A stochastic successive minimization method for nonsmooth nonconvex optimization with applications to transceiver design in wireless communication networks
• Inexact restoration with subsampled trust-region methods for finite-sum minimization
• ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization

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