Confidence level solutions for stochastic programming
نویسندگان
چکیده
منابع مشابه
Confidence level solutions for stochastic programming
We propose an alternative approach to stochastic programming based on MonteCarlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable. The associated objective value is doubly random, since it depends on two outcomes: the event in the stochastic program and the randomized algorithm. We propose a solution concept ...
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ژورنال
عنوان ژورنال: Automatica
سال: 2008
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2008.01.017