Stochastic optimization problems with nondifferentiable cost functionals

DOI10.1007/BF00934819zbMath0248.90043MaRDI QIDQ2556274

Dimitri P. Bertsekas

Publication date: 1973

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (18)

How McFadden met Rockafellar and learned to do more with less ⋮ Stochastic Methods for Composite and Weakly Convex Optimization Problems ⋮ Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes ⋮ Quasidifferentiabilities of the expectation functions of random quasidifferentiable functions ⋮ Dual Pricing of American Options by Wiener Chaos Expansion ⋮ Incremental gradient-free method for nonsmooth distributed optimization ⋮ On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems ⋮ Semi-srochastic approximation by the response surface methodology (RMS) ⋮ On stochastic gradient and subgradient methods with adaptive steplength sequences ⋮ String-averaging incremental stochastic subgradient algorithms ⋮ Minimizing a stochastic convex function subject to stochastic constraints and some applications ⋮ Unnamed Item ⋮ Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach ⋮ On risk-averse stochastic semidefinite programs with continuous recourse ⋮ A stochastic primal-dual method for optimization with conditional value at risk constraints ⋮ Stochastic (Approximate) Proximal Point Methods: Convergence, Optimality, and Adaptivity ⋮ A Saddle Point of aD Inventory Problem ⋮ A Markov decision process with convex reward and its associated stopping game

Cites Work

• Integrals of set-valued functions
• A general theory of extremals
• Measurable dependence of convex sets and functions on parameters
• Conjugate convex functions in optimal control and the calculus of variations
• Conjugate convex functions, duality, and optimal control problems. I: Systems governed by ordinary differential equations
• Convex Analysis
• The Conjugate Residual Method for Constrained Minimization Problems
• Optimality Criteria in Nonlinear Programming Without Differentiability

This page was built for publication: Stochastic optimization problems with nondifferentiable cost functionals