A large class of stochastic optimization problems can be modeled as minimizing an objective function f that depends on a choice of a vector x ∈ X, as well as on a random external...
Various stochastic programmingproblemscan be formulated as problems of optimization of an expected value function. Quite often the corresponding expectation function cannot be com...
Stochastic optimization problems provide a means to model uncertainty in the input data where the uncertainty is modeled by a probability distribution over the possible realizatio...
Stochastic optimization problems provide a means to model uncertainty in the input data where the uncertainty is modeled by a probability distribution over the possible realizatio...
Abstract— In this paper, we consider a class of continuoustime, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation ...