Asymptotic consistency for nonconvex risk-averse stochastic optimization with infinite-dimensional decision spaces

DOI10.1287/moor.2022.0200MaRDI QIDQ6634237

Thomas M. Surowiec, Johannes Milz

Publication date: 7 November 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stochastic programmingMonte Carlo samplingasymptotic consistencyuncertainty quantificationPDE-constrained optimizationsample average approximationrisk-averse optimizationempirical approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Large-scale problems in mathematical programming (90C06) Nonsmooth analysis (49J52) Stochastic programming (90C15) PDEs in connection with control and optimization (35Q93) PDE constrained optimization (numerical aspects) (49M41)

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