Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization.
Drew P. KouriThomas M. SurowiecPublished in: SIAM/ASA J. Uncertain. Quantification (2018)
Keyphrases
- constrained optimization
- optimality conditions
- risk averse
- nonlinear programming
- decision makers
- utility function
- lower level
- stochastic programming
- constrained optimization problems
- objective function
- penalty function
- newton method
- inequality constraints
- stationary points
- linear programming
- sensitivity analysis
- sample size
- mathematical programming
- higher level
- dynamic programming
- feature space