On the convergence of sampling algorithms for solving dynamic stochastic programming (Q2721958)
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scientific article; zbMATH DE number 1616996
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the convergence of sampling algorithms for solving dynamic stochastic programming |
scientific article; zbMATH DE number 1616996 |
Statements
11 July 2001
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stochastic programming
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epi-convergence
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semicontinuity
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On the convergence of sampling algorithms for solving dynamic stochastic programming (English)
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The continuous multistage stochastic programming problem is considered. A finite approximation of the problem is constructed by means of sampling discrete points from the original sample space. The analysis is based on classical results on epi-convergence of equi-lower semicontinuous normal integrands. The known results on the two-stage and linear problems are generalised. The results presented in the paper may be useful also for the construction of new algorithms of the considered class.
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