Subregular Recourse in Multistage Stochastic Optimization
Darinka Dentcheva (Stevens Institute of Technology)
Abstract: We discuss nonlinear multistage stochastic optimization problems in the spaces of integrable functions. The problems may include nonlinear dynamics and general objective functionals with dynamic risk measures as a particular case. We present analysis about the causal operators describing the dynamics of the system and the Clarke subdifferential for a penalty function involving such operators. We introduce concept of a subregular recourse in nonlinear multistage stochastic optimization and establish subregularity of the resulting systems in two formulations: with built-in nonanticipativity and with explicit nonanticipativity constraints. Optimality conditions for both formulations and their relations will be presented. This is a joint work with Andrzej Ruszczynski, Rutgers University, New Jersey.
optimization and control
Audience: learners
Comments: The address and password of the zoom room of the seminar are sent by e-mail on the mailinglist of the seminar one day before each talk
One World Optimization seminar
Series comments: Description: Online seminar on optimization and related areas
The address and password of the zoom room of the seminar are sent by e-mail on the mailinglist of the seminar one day before each talk
| Organizers: | Sorin-Mihai Grad*, Radu Ioan Boț, Shoham Sabach, Mathias Staudigl |
| *contact for this listing |