DocumentCode
3001703
Title
Stochastic optimization problems with nondifferentiable cost functionals with an application in stochastic programming
Author
Bertsekas, D.P.
Author_Institution
Stanford University, Stanford, California
fYear
1972
fDate
13-15 Dec. 1972
Firstpage
555
Lastpage
559
Abstract
In this paper we examine a class of stochastic optimization problems characterized by nondifferentiability of the objective function. It is shown that in many cases the expected value of the objective function is differentiable and thus the resulting optimization problem can be analyzed and solved by using classical analytical or numerical methods. The results are subsequently applied to the solution of a class of stochastic programming problems.
Keywords
Cost function; Equations; Functional programming; Optimization methods; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1972 and 11th Symposium on Adaptive Processes. Proceedings of the 1972 IEEE Conference on
Conference_Location
New Orleans, Louisiana, USA
Type
conf
DOI
10.1109/CDC.1972.269070
Filename
4044993
Link To Document