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 10.1007/978-3-642-82450-0_11.

## 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 |
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Research Programs: | Optimization under Uncertainty (OPT) |

Depositing User: | Romeo Molina |

Date Deposited: | 07 Dec 2016 15:48 |

Last Modified: | 27 Aug 2021 17:28 |

URI: | https://pure.iiasa.ac.at/14112 |

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