Sample Average Approximation for Stochastic Programming with Equality Constraints.
Thomas LewRiccardo BonalliMarco PavonePublished in: CoRR (2022)
Keyphrases
- stochastic programming
- equality constraints
- sample average approximation
- nonlinear programming
- optimality conditions
- linear programming
- linear program
- multistage
- stationary points
- stochastic model
- linear constraints
- optimization problems
- robust optimization
- semidefinite programming
- variational inequalities
- optimal solution
- decomposition algorithm
- column generation
- convergence analysis
- exact algorithms
- primal dual
- dynamic programming
- np hard
- multi agent systems