Consistency of sample-based stationary points for infinite-dimensional stochastic optimization

arXiv2306.17032MaRDI QIDQ6442013FDOQ6442013

Publication date: 29 June 2023

Abstract: We consider stochastic optimization problems with possibly nonsmooth integrands posed in Banach spaces and approximate these stochastic programs via a sample-based approaches. We establish the consistency of approximate Clarke stationary points of the sample-based approximations. Our framework is applied to risk-averse semilinear PDE-constrained optimization using the average value-at-risk and to risk-neutral bilinear PDE-constrained optimization.

Has companion code repository: https://github.com/milzj/errorestimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonlinear programming (90C30) Stochastic programming (90C15) PDEs in connection with control and optimization (35Q93) PDEs with randomness, stochastic partial differential equations (35R60) Programming in abstract spaces (90C48) Random operators and equations (aspects of stochastic analysis) (60H25) PDE constrained optimization (numerical aspects) (49M41)

This page was built for publication: Consistency of sample-based stationary points for infinite-dimensional stochastic optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6442013)