Star-shaped approximation approach for stochastic programming problems with probability function

DOI10.1080/02331930008844483MaRDI QIDQ4484949zbMATH OpenOpenAlexFDO

Authors Grigori L. Tretiakov

Publication date 17 June 2001

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930008844483

zbMATH Keywords

Monte Carlo methodprobability functionstochastic quasi-gradient algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15) Nonlinear programming (90C30)

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Cites work

• A differentiation formula for integrals overseas given by inclusion
• Convexity properties of probability and quantile functions in optimization problems
• Differentiation of probability functions: The transformation method

Cited in

(3)

• Maximization of the probability function: an algorithm based on the star-shaped approximation
• Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
• Application of the smooth approximation of the probability function in some applied stochastic programming problems

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