Convergence properties of two-stage stochastic programming
From MaRDI portal
Publication:5925743
DOI10.1023/A:1004649211111zbMath0980.90057MaRDI QIDQ5925743
No author found.
Publication date: 19 February 2001
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Related Items
A remark on multiobjective stochastic optimization via strongly convex functions, Stochastic Nash equilibrium problems: sample average approximation and applications, Unnamed Item, On complexity of multistage stochastic programs under heavy tailed distributions, Monte Carlo methods for mean-risk optimization and portfolio selection, Thin and heavy tails in stochastic programming, Acceleration on Adaptive Importance Sampling with Sample Average Approximation, Moderate Deviations and Invariance Principles for Sample Average Approximations, Stability analysis of stochastic programs with second order dominance constraints, A note on uniform exponential convergence of sample average approximation of random functions, Stochastic multiobjective optimization: Sample average approximation and applications, Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints, On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling, Two-stage fuzzy chance-constrained programming: application to water resources management under dual uncertainties, SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS, Convergence conditions for the observed mean method in stochastic programming, Robust decision making using a general utility set, Approximation-exact penalty function method for solving a class of stochastic programming, An interval-parameter fuzzy two-stage stochastic program for water resources management under uncertainty, Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming, Sample average approximation under non-i.i.d. sampling for stochastic empty container repositioning problem, Some large deviations results for Latin hypercube sampling, Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse, Unnamed Item, Asymptotic behavior of solutions: an application to stochastic NLP, On rates of convergence for sample average approximations in the almost sure sense and in mean
Cites Work
- Unnamed Item
- Unnamed Item
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Asymptotic analysis of stochastic programs
- Asymptotic properties of statistical estimators in stochastic programming
- Sample-path optimization of convex stochastic performance functions
- Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems
- Introduction to Stochastic Programming
- Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
- Analysis of Sample-Path Optimization
- Robust Estimation of a Location Parameter
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations