Computation of Descent Directions in Stochastic Optimization Problems with Invariant Distributions

DOI10.1002/ZAMM.19850650813zbMath0585.90068OpenAlexW2069773287MaRDI QIDQ5903027

Kurt Marti

Publication date: 1985

Published in: ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/zamm.19850650813

zbMATH Keywords

two-stage stochastic linear programmingconvex mean value functions

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Cites Work

• Introduction to stochastic control theory
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