Event-based optimization approach for solving stochastic decision problems with probabilistic constraint

DOI10.1007/s11590-019-01403-2zbMath1466.90059OpenAlexW2915275200MaRDI QIDQ828677

Xiaonong Lu, Zhanglin Peng, Qiang Zhang, Shan-Lin Yang

Publication date: 5 May 2021

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-019-01403-2

zbMATH Keywords

Lagrangian methodriskpolicy iterationprobabilistic constraintevent-based optimizationperformance gradient

Mathematics Subject Classification ID

Stochastic programming (90C15)

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