On smooth approximation of probabilistic criteria in stochastic programming problems
نویسندگان
چکیده
منابع مشابه
Approximation of Stochastic Programming Problems
In Stochastic Programming, the aim is often the optimization of a criterion function that can be written as an integral or mean functional with respect to a probability measure P. When this functional cannot be computed in closed form, it is customary to approximate it through an empirical mean functional based on a random Monte Carlo sample. Several improved methods have been proposed, using q...
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ژورنال
عنوان ژورنال: Труды СПИИРАН
سال: 2020
ISSN: 2078-9599,2078-9181
DOI: 10.15622/10.15622/sp.2020.19.1.7