Star-shaped approximation approach for stochastic programming problems with probability function

DOI10.1080/02331930008844483zbMath0962.90033OpenAlexW2057599420MaRDI QIDQ4484949

Grigori L. Tretiakov

Publication date: 17 June 2001

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930008844483

zbMATH Keywords

probability functionMonte Carlo methodstochastic quasi-gradient algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonlinear programming (90C30) Stochastic programming (90C15)

Cites Work

• Convexity properties of probability and quantile functions in optimization problems
• Differentiation of probability functions: The transformation method
• A differentiation formula for integrals overseas given by inclusion

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