Browsing Elektronische Zeitschriften by Subject "saddle point"

Now showing items 1-2 of 2

2003-07-21Buch

An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming

Bagh, Adib; Casey, Michael

We prove an ergodic theorem showing the almost sure epi/hypo-convergence of a sequence of random lagrangians to a limit lagrangian where the random lagrangians are generated by stationary sampling of a probability measure. ...
2003-05-17Buch

Dynamic splitting

An algorithm for deterministic and stochastic multiperiod optimization

DAVID, H.; Rockafellar, R. Tyrrell

A new algorithm for the nonlinear multistage stochastic programming problem (MSP) is presented; one that is reasonable for the large-scale problem (e.g. long term hydropower scheduling) and is highly parallel. The algorithm ...