Gradient-based simulation optimization under probability constraints

DOI10.1016/j.ejor.2011.01.049zbMath1242.90141MaRDI QIDQ421531

Laetitia Andrieu, Felisa J. Vázquez-Abad, Guy Cohen

Publication date: 14 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.01.049

zbMATH Keywords

stochastic approximation; stochastic gradient algorithm; probability constraints

Mathematics Subject Classification ID

90C15: Stochastic programming

90C59: Approximation methods and heuristics in mathematical programming

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