On the convergence of the dynamic stochastic approximation method for stochastic non-linear multidimensional dynamic systems
El Sayed Sorour (1978)
Kybernetika
Similarity:
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
Displaying similar documents to “An approximation method in stochastic optimization and control”
On the convergence of the dynamic stochastic approximation method for stochastic non-linear multidimensional dynamic systems
Multistage stochastic programs: The state-of-the-art and selected bibliography
Jitka Dupačová (1995)
Kybernetika
Similarity:
Notes on dependence with complete connections
Marius Iosifescu (1985)
Banach Center Publications
Similarity:
Consistency of minimizers and the SLLN for stochastic programs.
Artstein, Zvi, Wets, Roger J.B. (1995)
Journal of Convex Analysis
Similarity:
Regularization method for stochastic mathematical programs with complementarity constraints
Gui-Hua Lin, Masao Fukushima (2010)
ESAIM: Control, Optimisation and Calculus of Variations
Similarity:
In this paper, we consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs) that has been discussed by Lin and Fukushima (2003). Based on a reformulation given therein, we propose a regularization method for solving the problems. We show that, under a weak condition, an accumulation point of the generated sequence is a feasible point of the original problem. We also show that such an accumulation point is S-stationary to the problem under additional...