Optimality functions in stochastic programming
From MaRDI portal
Publication:715095
DOI10.1007/s10107-011-0453-3zbMath1267.90090WikidataQ105583396 ScholiaQ105583396MaRDI QIDQ715095
Publication date: 15 October 2012
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-011-0453-3
90C26: Nonconvex programming, global optimization
90C46: Optimality conditions and duality in mathematical programming
90C15: Stochastic programming
Related Items
Iteration and evaluation complexity for the minimization of functions whose computation is intrinsically inexact, Variational Theory for Optimization under Stochastic Ambiguity, Two stochastic optimization algorithms for convex optimization with fixed point constraints, Asymptotic Results of Stochastic Decomposition for Two-Stage Stochastic Quadratic Programming, Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization, Sample average approximation with heavier tails. I: Non-asymptotic bounds with weak assumptions and stochastic constraints, Consistent approximations in composite optimization, Optimality functions and lopsided convergence, Spectral projected gradient method for stochastic optimization, Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation, Variance reduction for sequential sampling in stochastic programming, Nonmonotone line search methods with variable sample size, On sample size control in sample average approximations for solving smooth stochastic programs, Inexact Restoration approach for minimization with inexact evaluation of the objective function
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On solving large-scale finite minimax problems using exponential smoothing
- Uniform laws of large numbers for set-valued mappings and subdifferentials of random functions
- An adaptive Monte Carlo algorithm for computing mixed logit estimators
- Efficient sample sizes in stochastic nonlinear programming
- Sample average approximation of expected value constrained stochastic programs
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
- Statistical testing of optimality conditions in multiresponse simulation-based optimization
- Statistical verification of optimality conditions for stochastic programs with recourse
- A simulation-based approach to two-stage stochastic programming with recourse
- A branch and bound method for stochastic global optimization
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- On the use of consistent approximations in the solution of semi-infinite optimization and optimal control problems
- Duality and statistical tests of optimality for two stage stochastic programs
- Optimization. Algorithms and consistent approximations
- Sample-path solution of stochastic variational inequalities
- Nonlinear stochastic programming by Monte-Carlo estimators
- Stochastic linear programming. Models, theory, and computation
- Extensions of stochastic optimization results to problems with system failure probability functions
- Convergence theory for nonconvex stochastic programming with an application to mixed logit
- Stochastic decomposition. A statistical method for large scale stochastic linear programming
- On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization
- Finding Optimal Material Release Times Using Simulation-Based Optimization
- A Sequential Sampling Procedure for Stochastic Programming
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Lectures on Stochastic Programming
- Robust Stochastic Approximation Approach to Stochastic Programming
- Asymptotic Behavior of Optimal Solutions in Stochastic Programming
- Introduction to Stochastic Search and Optimization
- Convex Approximations of Chance Constrained Programs
