eprintid: 4500 rev_number: 23 eprint_status: archive userid: 351 dir: disk0/00/00/45/00 datestamp: 2016-01-15 02:05:58 lastmod: 2021-08-27 17:15:14 status_changed: 2016-01-15 02:05:58 type: monograph metadata_visibility: show item_issues_count: 2 creators_name: Ermoliev, Y.M. creators_name: Norkin, V.I. creators_id: 1445 creators_id: AL1055 title: On Nonsmooth Problems of Stochastic Systems Optimization ispublished: pub internal_subjects: iis_met internal_subjects: iis_rsk divisions: prog_rpc abstract: A class of stochastic optimization problems is analyzed that cannot be solved by deterministic and standard stochastic approximation methods. We consider risk control problems, optimization of stochastic networks and discrete event systems, screening irreversible changes, pollution control. The results of Ermoliev, Norkin, Wets [11] are extended to the case of problems involving random variables and general constraints. It is shown that the concept of mollifier subgradient leads to easily implementable computational procedures for stochastic systems with Lipschitz and discontinuous expectation functions. New optimality conditions are formulated enabling to design stochastic search procedures for constrained optimization of discontinuous systems. date: 1995-12 date_type: published publisher: WP-95-096 iiasapubid: WP-95-096 price: 10 creators_browse_id: 338 creators_browse_id: 2245 full_text_status: public monograph_type: working_paper place_of_pub: IIASA, Laxenburg, Austria pages: 40 coversheets_dirty: FALSE fp7_type: info:eu-repo/semantics/book citation: Ermoliev, Y.M. & Norkin, V.I. (1995). On Nonsmooth Problems of Stochastic Systems Optimization. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-95-096 document_url: https://pure.iiasa.ac.at/id/eprint/4500/1/WP-95-096.pdf