Algorithmic Procedures for Stochastic Optimization

Wets R (1985). Algorithmic Procedures for Stochastic Optimization. In: Computational Mathematical Programming. Eds. Schittkowski, K., pp. 309-322 Germany: Springer berlin Heidelberg. ISBN 978-3-642-82450-0 DOI:10.1007/978-3-642-82450-0_11.

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Abstract

For purposes of preliminary discussion, it is convenient to identify stochastic optimization problems with:
findxεRnthatminimizesz=E{f(x,ξ∼)}
where ξ is a random N-vector with distribution function, P, f:Rn x RN → R U +∞ is a lower semicontinuous function, possibly convex, where dom f(.ξ) = x |f(x,ξ) is finite, corresponds to the set of acceptable choices for x when ξ is the observed value of the random vector ξ, and
E{f(x,ξ∼)}=∫f(x,ξ)dp(ξ)

Item Type: Book Section
Research Programs: Optimization under Uncertainty (OPT)
Depositing User: Romeo Molina
Date Deposited: 07 Dec 2016 15:48
Last Modified: 07 Dec 2016 15:48
URI: http://pure.iiasa.ac.at/14112

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