Approximations of Stochastic Optimization Problems Subject to Measurability Constraints

DOI10.1137/070692376zbMath1178.90257OpenAlexW2021674778MaRDI QIDQ3648527

Michel De Lara, Jean-Philippe Chancelier, Pierre Carpentier

Publication date: 27 November 2009

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070692376

zbMATH Keywords

discretizationstochastic programmingmeasurability constraints

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic approximation (62L20) Discrete approximations in optimal control (49M25)

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