Stochastic Optimization Problems with Nondifferentiable Cost Functionals

被引：56

作者：

Bertsekas, D. P. ^{[1
]}

机构：

[1] Stanford Univ, Dept Engn Econ Syst, Stanford, CA 94305 USA

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1973年 / 12卷 / 02期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1007/BF00934819

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we examine a class of stochastic optimization problems characterized by nondifferentiability of the objective function. It is shown that, in many cases, the expected value of the objective function is differentiable and, thus, the resulting optimization problem can be solved by using classical analytical or numerical methods. The results are subsequently applied to the solution of a problem of economic resource allocation.

引用

页码：218 / 231

页数：14

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