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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 ...
On the convergence of the Sakawa-Shindo algorithm in stochastic control
(American Institute of Mathematical Sciences, 2016-09)
We analyze an algorithm for solving stochastic control problems, based on Pontryagin’s maximum principle, due to Sakawa and Shindo in the deterministic case and extended to the stochastic setting by Mazliak. We assume that ...
Evaluation of asynchronous average consensus algorithms in pure broadcasting infrastructure-free networks
(IEEE, 2017)
Distributed and cooperative algorithms are of preponderant importance for the correct operation of multiagent systems. In particular, average consensus algorithms represent an appealing alternative for combining measurements ...
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
(Springer, 2014-01)
We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ...
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 ...
Optimal algorithms for differentially private stochastic monotone variational inequalities and saddle-point problems
(2023)
AbstractIn this work, we conduct the first systematic study of stochastic variational inequality (SVI) and stochastic saddle point (SSP) problems under the constraint of differential privacy (DP). We propose two algorithms: ...
Solving Deterministic and Stochastic Equilibrium Problems via Augmented Walrasian
(Springer, 2019)
We described a method to solve deterministic and stochastic Walras equilibrium
models based on associating with the given problem a bifunction whose
maxinf-points turn out to be equilibrium points. The numerical procedure ...