GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS

DOI10.1081/NFA-120014749zbMath1021.90040OpenAlexW1981258968MaRDI QIDQ4787838

Zhiping Chen, Cheng-Xian Xu

Publication date: 8 January 2003

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/nfa-120014749

zbMATH Keywords

samplingtreenormal integrandEpi-convergenceequi-lower semicontinuitydynamic stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Dynamic programming (90C39) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20)

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Cites Work

• A tolerant algorithm for linearly constrained optimization calculations
• Asymptotic analysis of stochastic programs
• On the relations between two types of convergence for convex functions
• Measures as Lagrange multipliers in multistage stochastic programming
• On the Convergence in Distribution of Measurable Multifunctions (Random Sets) Normal Integrands, Stochastic Processes and Stochastic Infima
• Multistage Stochastic Programming with Recourse As Mathematical Programming in an $L_p $ Space
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
• Random test problems and parallel methods for quadratic programs and quadratic stochastic programs^∗
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Convex Analysis

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