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Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
(EMAp - Escola de Matemática Aplicada, 2016)
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable con dence intervals on the optimal value of such stochastic programs using the Robust Stochastic ...
Non-asymptotic confidence bounds for the optimal value of a stochastic program
(EMAp - Escola de Matemática Aplicada, 2016)
We discuss a general approach to building non-asymptotic confidence bounds for stochastic optimization problems. Our principal contribution is the observation that a Sample Average Approximation of a problem supplies upper ...
Incremental constraint projection methods for monotone stochastic variational inequalities
(INFORMS Inst.for Operations Res.and the Management Sciences, 2019)
We consider stochastic variational inequalities (VIs) with monotone operators where the feasible set is an intersection of a large number of convex sets. We propose a stochastic approximation method with incremental ...
Computer simulation of the stochastic transport equation
(EMAp - Escola de Matemática Aplicada, 2015)
In this article the numerical approximation of the stochastic transport equation is considered. We propose a new computational scheme for the effective simulation of the solutions of this equation. Results on the convergence ...
Extragradient method with variance reduction for stochastic variational inequalities
(SIAM Publications, 2017)
We propose an extragradient method with stepsizes bounded away from zero for stochastic variational inequalities requiring only pseudomonotonicity. We provide convergence and complexity analysis, allowing for an unbounded ...
Approximation Algorithms For K-level Stochastic Facility Location Problems
(Springer New York LLC, 2016)
Decomposition of stochastic flow and an averaging principle for slow perturbations
(2020-01-01)
In this work we use the stochastic flow decomposition technique to get components that represent the dynamics of the slow and fast motion of a stochastic differential equation with a random perturbation. Assuming a Lipschitz ...
The quasi-deterministic limit of population dynamics
(Centre for Environment & Socio-Economic Research, 2012-02)
We discuss and compare different, but related, approximations to the stochastic dynamics of populations, all of them having as limit the same deterministic dynamics. The diffusion approximation,linearized diffusion ...