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Erschienen in:
Projection of a Point onto a Convex Set via Charged Balls Method Kapitel lesen Erstes Kapitel lesen

2022 | OriginalPaper | Buchkapitel

Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming

verfasst von : M. V. Dolgopolik

Erschienen in: High-Dimensional Optimization and Probability

Verlag: Springer International Publishing

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Abstract

This work is devoted to an analysis of exact penalty functions and optimality conditions for nonsmooth two-stage stochastic programming problems. To this end, we first study the co/quasidifferentiability of the expectation of nonsmooth random integrands and obtain explicit formulae for its co and quasidifferential under some natural assumptions on the integrand. Then, we analyse exact penalty functions for a variational reformulation of two-stage stochastic programming problems and obtain sufficient conditions for the global exactness of these functions with two different penalty terms. In the end of the chapter, we combine our results on the co/quasidifferentiability of the expectation of nonsmooth random integrands and exact penalty functions to derive optimality conditions for nonsmooth two-stage stochastic programming problems in terms of codifferentials.

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Vorheriges Kapitel Higher Order Embeddings for the Composition of the Harmonic Projection and Homotopy Operators
Nächstes Kapitel On the Expected Extinction Time for the Adjoint Circuit Chains Associated with a Random Walk with Jumps in Random Environments
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Metadaten
Titel
Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming
verfasst von
M. V. Dolgopolik
Copyright-Jahr
2022
Buch
High-Dimensional Optimization and Probability

Print ISBN: 978-3-031-00831-3

Electronic ISBN: 978-3-031-00832-0

Copyright-Jahr: 2022

DOI
https://doi.org/10.1007/978-3-031-00832-0_5