Browsing Elektronische Zeitschriften by Subject "saddle point"
Now showing items 1-2 of 2
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2003-07-21BuchAn Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming 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. ...
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2003-05-17BuchDynamic splitting An algorithm for deterministic and stochastic multiperiod optimizationA 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 ...