Sample average approximation for stochastic programming with equality constraints

DOI10.1137/23M1573227MaRDI QIDQ6622760zbMATH OpenFDO

Authors Riccardo Bonalli, Marco Pavone

Publication date 22 October 2024

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1573227

zbMATH Keywords

concentration inequalitiesstochastic optimal controlstochastic programmingsampling methodsrandom set theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parametric inference (62F99) Geometric probability and stochastic geometry (60D05) Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cited in

(3)

• Rough stochastic Pontryagin maximum principle and an indirect shooting method
• Convergence rates for ensemble-based solutions to optimal control of uncertain dynamical systems
• A gradient descent-ascent method for continuous-time risk-averse optimal control

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