Optimality conditions for convex stochastic optimization problems in Banach spaces with almost sure state constraints
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Publication:5158765
DOI10.1137/20M1363558zbMATH Open1484.90055arXiv2009.04168MaRDI QIDQ5158765FDOQ5158765
Authors: C. Geiersbach, W. Wollner 
Publication date: 26 October 2021
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Abstract: We analyze a convex stochastic optimization problem where the state is assumed to belong to the Bochner space of essentially bounded random variables with images in a reflexive and separable Banach space. For this problem, we obtain optimality conditions that are, with an appropriate model, necessary and sufficient. Additionally, the Lagrange multipliers associated with optimality conditions are integrable vector-valued functions and not only measures. A model problem is given demonstrating the application to PDE-constrained optimization under uncertainty with an outlook for further applications.
Full work available at URL: https://arxiv.org/abs/2009.04168
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