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A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints.

Fanwen MengHuifu Xu
Published in: SIAM J. Optim. (2006)
Keyphrases
  • sample average approximation
  • objective function
  • optimization method
  • convergence rate
  • low level
  • dynamic programming
  • worst case
  • optimization algorithm
  • decomposition method