An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems

This paper proposes an implementable SAA (sample average approximation) nonlinear Lagrange algorithm for the constrained minimax stochastic optimization problem based on the sample average approximation method. A computable nonlinear Lagrange function with sample average approximation functions of o...

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Veröffentlicht in:	Mathematical problems in engineering 2018-01, Vol.2018 (2018), p.1-13
Hauptverfasser:	Wang, Chuanmei, Wu, Haiying, He, Suxiang
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applied mathematics Approximation Engineering Expected values Lagrange multiplier Mathematical analysis Mathematical programming Minimax technique Optimization
Online-Zugang:	Volltext
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