The Direct Monotone Stochastic Optimization Method

Chepurnoj ND (1987). The Direct Monotone Stochastic Optimization Method. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-87-081


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The monotone method for the solution of a stochastic programming problem of expectation type is considered in this paper. This method produces a sequence of points x^{s} with decreasing values of an objective function which distinguishes it from other known methods. The achievement of this method requires estimates of the objective function with accuracy which increases during successive iterations.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:57
Last Modified: 14 Mar 2018 08:16

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