A linearization method for nonsmooth stochastic programming problems
Mathematics of Operations Research
Numerical techniques for stochastic optimization
Numerical techniques for stochastic optimization
Normalized convergence in stochastic optimization
Annals of Operations Research
Stochastic quasigradient methods for optimization of discrete event systems
Annals of Operations Research - Special issue on sensitivity analysis and optimization of discrete event systems
The Minimization of Semicontinuous Functions: Mollifier Subgradients
SIAM Journal on Control and Optimization
A branch and bound method for stochastic global optimization
Mathematical Programming: Series A and B
Problems on Insurance of Catastrophic Risks
Cybernetics and Systems Analysis
Optimization of Summable Functions
Cybernetics and Systems Analysis
On Optimal Allocation of Indivisibles Under Uncertainty
Operations Research
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Different classes of nonconvex nonsmooth stochastic optimization problems are analyzed, their generalized differentiability properties and necessary optimality conditions are studied, and a technique for calculating stochastic gradients is developed. For each class of the problems, corresponding solution methods are proposed, in particular, generalizations of the stochastic quasigradient method.