Feasible direction methods for stochastic programming problems

descriptionPublicationkeyboard_double_arrow_right Article 01 Dec 1980 English Publisher:Springer Science and Business Media LLCJournal:Mathematical Programming, volume 19, pages 220-229 (issn: 0025-5610, eissn: 1436-4646,

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Authors: Andrzej Ruszczynski;

doi: 10.1007/bf01581643

Feasible direction methods for stochastic programming problems

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Abstract

A unified approach to stochastic feasible direction methods is developed. An abstract point-to-set map description of the algorithm is used and a general convergence theorem is proved. The theory is used to develop stochastic analogs of classical feasible direction algorithms.

Related Organizations

Warsaw University of Technology
Poland

Keywords

unified approach, convergence theorem, Stochastic programming, point-to-set map description, feasible direction methods, Set-valued maps in general topology

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