Consistency of sample-based stationary points for infinite-dimensional stochastic optimization
Optimization and Control
2025-07-08 v1
Abstract
We consider stochastic optimization problems with possibly nonsmooth integrands posed in Banach spaces and approximate these stochastic programs via a sample-based approaches. We establish the consistency of approximate Clarke stationary points of the sample-based approximations. Our framework is applied to risk-averse semilinear PDE-constrained optimization using the average value-at-risk and to risk-neutral bilinear PDE-constrained optimization.
Keywords
Cite
@article{arxiv.2306.17032,
title = {Consistency of sample-based stationary points for infinite-dimensional stochastic optimization},
author = {Johannes Milz},
journal= {arXiv preprint arXiv:2306.17032},
year = {2025}
}
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20 pages