Abstract
A differential inclusion is designed for solving stochastic, finite horizon, convex programs. Under a sharpness condition we demonstrate that the resulting method yields finite convergence.
Written in parts at the Univ. of Bayreuth. The research has partially been supported by Ruhrgas via NAVF.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
J.P. Aubin and A. Cellina. Differential Inclusions, Springer Verlag, N.Y. (1984).
S.D. Flam. “Lagrange multipliers in stochastic programmming”, Preprint, Inst. of Economics. Univ. of Bergen (1990).
S.D. Flåm and A. Ben-Israel. “Approximating Saddle Points as Equilibria of Differential Inclusions”, JOTA 141, (1989), 264–277.
S.D. Flåm and J. Zowe. “A Primal-Dual Differential Method for Convex Programming”. Preprint, Institute of Economics, Univ. of Bergen, (1990).
S.D. Flåm and Alberto Seeger. “Solving cone-constrained convex programs by differential inclusions”, Working Paper, Institute of Economics, University of Bergen (1990).
R.T. Rockafellar. “Integrals wich are Convex Functionals”, Pacific J. of Math 24, (1968), 525–539.
R.T. Rockafellar. Convex Analysis. Princeton Univ. Press, Princeton, N.J., (1970).
R.T. Rockafellar. “Monotone Operators Associated with Saddle-Functions and Minimax Problems”. In Nonlinear Functional Analysis (Proc. of Symposia in Pure Mathematics, Vol. 18, Part 1), F.E. Browder, Ed., (1970), 241–250.
R.T. Rockafellar. “Integrals which are convex functionals”, Part II. Pacific J. of Math 39, (1971), 439–469.
R.T. Rockafellar and R.J-B. Wets. “Generalized linear-qua dratic problems of deterministic and stochastic control in discrete time”. SIAM J. Control and Optimization, vol. 28, no. 4, 810–822 (1990).
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1992 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Flåm, S.D. (1992). Finite Convergence in Stochastic Programming. In: Marti, K. (eds) Stochastic Optimization. Lecture Notes in Economics and Mathematical Systems, vol 379. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-88267-8_1
Download citation
DOI: https://doi.org/10.1007/978-3-642-88267-8_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-55225-3
Online ISBN: 978-3-642-88267-8
eBook Packages: Springer Book Archive