Approximation of stochastic programming problems

zbMATH Open1239.90082MaRDI QIDQ5482358FDOQ5482358

Authors: Christine Choirat, Christian Hess, Raffaello Seri 

Publication date: 28 August 2006

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15) Probabilistic measure theory (60A10)

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• Applications of stochastic programming under incomplete information
• Approximating the Expected Values for Combinatorial Optimization Problems over Stochastic Points
• Approximations for Probability Distributions and Stochastic Optimization Problems
• An SQP-type method and its application in stochastic programs
• Thin and heavy tails in stochastic programming
• Projection and discretization methods in stochastic programming
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• Epi-convergent discretizations of stochastic programs via integration quadratures
• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
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• Variance reduction in sample approximations of stochastic programs
• A note on estimates in stochastic programming
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• Solving stochastic programming problems via Kalman filter and affine scaling
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