Optimality functions in stochastic programming (Q715095)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimality functions in stochastic programming |
scientific article; zbMATH DE number 6093785
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimality functions in stochastic programming |
scientific article; zbMATH DE number 6093785 |
Statements
Optimality functions in stochastic programming (English)
0 references
15 October 2012
0 references
A stochastic programming problem is considered with nonlinear and possibly non-convex expected value objective and constraint functions. The concept of an optimality function is extended to stochastic programs, and applied to evaluate the quality of a candidate solution by means of confidence intervals. An algorithm is proposed which almost surely converges to a stationary (in the sense of Fritz-John conditions) point. Several numerical examples are included.
0 references
stochastic programming
0 references
optimality conditions
0 references
algorithm
0 references
convergence
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
