Generalized Sequential Differential Calculus for Expected-Integral Functionals
Optimization and Control
2021-06-15 v4
Abstract
Motivated by applications to stochastic programming, we introduce and study the expected-integral functionals, which are mappings given in an integral form depending on two variables, the first a finite dimensional decision vector and the second one an integrable function. The main goal of this paper is to establish sequential versions of Leibniz's rule for regular subgradients by employing and developing appropriate tools of variational analysis.
Cite
@article{arxiv.2009.12492,
title = {Generalized Sequential Differential Calculus for Expected-Integral Functionals},
author = {Boris S. Mordukhovich and Pedro Pérez-Aros},
journal= {arXiv preprint arXiv:2009.12492},
year = {2021}
}
Comments
26 pages