Optimality Conditions and Moreau--Yosida Regularization for Almost Sure State Constraints
Optimization and Control
2022-12-21 v3
Abstract
We analyze a potentially risk-averse convex stochastic optimization problem, where the control is deterministic and the state is a Banach-valued essentially bounded random variable. We obtain strong forms of necessary and sufficient optimality conditions for problems subject to equality and conical constraints. We propose a Moreau--Yosida regularization for the conical constraint and show consistency of the optimality conditions for the regularized problem as the regularization parameter is taken to infinity.
Cite
@article{arxiv.2108.01391,
title = {Optimality Conditions and Moreau--Yosida Regularization for Almost Sure State Constraints},
author = {Caroline Geiersbach and Michael Hintermüller},
journal= {arXiv preprint arXiv:2108.01391},
year = {2022}
}