
doi: 10.1007/bf01068202
Summary: Two-stage stochastic optimization of dynamic system parameters is considered. It is shown that the original optimization problem can be approximated with any degree of accuracy by a finite-dimensional minimax stochastic problem. An Arrow-Hurwicz type stochastic quasigradient algorithm is proposed for solving such problems.
Two-stage stochastic optimization, Nonsmooth analysis, Stochastic programming, Automated systems (robots, etc.) in control theory, finite- dimensional minimax stochastic problem, Existence of optimal solutions to problems involving randomness, design of a robot manipulator, Applications of mathematical programming, Computational methods for problems pertaining to operations research and mathematical programming, Existence of solutions for minimax problems, Arrow-Hurwicz type stochastic quasigradient algorithm
Two-stage stochastic optimization, Nonsmooth analysis, Stochastic programming, Automated systems (robots, etc.) in control theory, finite- dimensional minimax stochastic problem, Existence of optimal solutions to problems involving randomness, design of a robot manipulator, Applications of mathematical programming, Computational methods for problems pertaining to operations research and mathematical programming, Existence of solutions for minimax problems, Arrow-Hurwicz type stochastic quasigradient algorithm
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