Efficient sample sizes in stochastic nonlinear programming

DOI10.1016/j.cam.2007.02.014zbMath1146.90042OpenAlexW2041159855MaRDI QIDQ929602

Elijah Polak, Johannes O. Royset

Publication date: 17 June 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.02.014

zbMATH Keywords

diagonalizationsample average approximationsreliability-based optimal design

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Stochastic programming (90C15)

Related Items (11)

On sample size control in sample average approximations for solving smooth stochastic programs ⋮ Adaptive importance sampling for optimization under uncertainty problems ⋮ Inexact restoration with subsampled trust-region methods for finite-sum minimization ⋮ Spectral projected gradient method for stochastic optimization ⋮ Variable sample size method for equality constrained optimization problems ⋮ Optimality functions in stochastic programming ⋮ Inexact Restoration approach for minimization with inexact evaluation of the objective function ⋮ Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation ⋮ Iteration and evaluation complexity for the minimization of functions whose computation is intrinsically inexact ⋮ Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs ⋮ Nonmonotone line search methods with variable sample size

Uses Software

• Matlab

Cites Work

• Unnamed Item
• Algorithms with adaptive smoothing for finite minimax problems
• Characterization of the law of the iterated logarithm in Banach spaces
• A simulation-based approach to two-stage stochastic programming with recourse
• Sample-path optimization of convex stochastic performance functions
• Optimization. Algorithms and consistent approximations
• Extensions of stochastic optimization results to problems with system failure probability functions
• Epi‐consistency of convex stochastic programs
• Calmness and Exact Penalization
• Effective diagonalization strategies for the solution of a class of optimal design problems
• Optimization and nonsmooth analysis
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming

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