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Approximating stationary points of stochastic optimization problems in Banach space
, H. Xu
Published in
2008
Volume: 347
   
Issue: 1
Pages: 333 - 343
Abstract
In this paper, we present a uniform strong law of large numbers for random set-valued mappings in separable Banach space and apply it to analyze the sample average approximation of Clarke stationary points of a nonsmooth one stage stochastic minimization problem in separable Banach space. Moreover, under Hausdorff continuity, we show that with probability approaching one exponentially fast with the increase of sample size, the sample average of a convex compact set-valued mapping converges to its expected value uniformly. The result is used to establish exponential convergence of stationary sequence under some metric regularity conditions. Crown Copyright © 2008.
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JournalJournal of Mathematical Analysis and Applications
Open AccessFalse