Optimality conditions for convex stochastic optimization problems in Banach spaces with almost sure state constraint
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2755 | |
dc.contributor.author | Geiersbach, Caroline | |
dc.contributor.author | Wollner, Winnifried | |
dc.date.accessioned | 2022-06-30T13:14:19Z | |
dc.date.available | 2022-06-30T13:14:19Z | |
dc.date.issued | 2020 | |
dc.description.abstract | We analyze a convex stochastic optimization problem where the state is assumed to belong to the Bochner space of essentially bounded random variables with images in a reflexive and separable Banach space. For this problem, we obtain optimality conditions that are, with an appropriate model, necessary and sufficient. Additionally, the Lagrange multipliers associated with optimality conditions are integrable vector-valued functions and not only measures. A model problem is given demonstrating the application to PDE-constrained optimization under uncertainty. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9405 | |
dc.identifier.uri | https://doi.org/10.34657/8443 | |
dc.language.iso | eng | |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2755 | |
dc.relation.issn | 2198-5855 | |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | |
dc.subject.other | PDE-constrained optimization under uncertainty | eng |
dc.subject.other | optimization in Banach spaces | eng |
dc.subject.other | optimality conditions | eng |
dc.subject.other | convex stochastic optimization in Banach spaces | eng |
dc.subject.other | two-stage stochastic optimization | eng |
dc.subject.other | regular Lagrange multipliers | eng |
dc.subject.other | duality | eng |
dc.title | Optimality conditions for convex stochastic optimization problems in Banach spaces with almost sure state constraint | eng |
dc.type | Report | eng |
dc.type | Text | eng |
dcterms.extent | 25 S. | |
tib.accessRights | openAccess | |
wgl.contributor | WIAS | |
wgl.subject | Mathematik | |
wgl.type | Report / Forschungsbericht / Arbeitspapier |
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