Stochastic Optimization Problems with Partially Known Distribution Functions

Ermoliev YM & Nedeva C (1982). Stochastic Optimization Problems with Partially Known Distribution Functions. IIASA Collaborative Paper. IIASA, Laxenburg, Austria: CP-82-060

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Abstract

The main purpose of this paper is to discuss the numerical procedures of optimization with respect to unknown distribution functions which are based on ideas of duality. Dual problem is formulated as minimax type problem without concavity of "inner" problem of maximization. Numerical procedure allowed to avoid difficulties concerning "inner" problem solution is proposed.

Item Type: Monograph (IIASA Collaborative Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:52
Last Modified: 23 Jul 2016 02:25
URI: http://pure.iiasa.ac.at/2058

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