Stochastic Multiobjective Optimization: Sample Average Approximation and Applications

We investigate one stage stochastic multiobjective optimization problems where the objectives are the expected values of random functions. Assuming that the closed form of the expected values is difficult to obtain, we apply the well known Sample Average Approximation (SAA) method to solve it. We pr...

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Bibliographic Details
Published in:	Journal of optimization theory and applications Vol. 151; no. 1; pp. 135 - 162
Main Authors:	Fliege, Jörg, Xu, Huifu
Format:	Journal Article
Language:	English
Published:	Boston Springer US 01.10.2011 Springer Springer Nature B.V
Subjects:	Applications of Mathematics Applied sciences Approximation Calculus of Variations and Optimal Control; Optimization Decision theory. Utility theory Engineering Exact sciences and technology Expected values Mathematical programming Mathematics Mathematics and Statistics Numerical analysis Operational research and scientific management Operational research. Management science Operations Research/Decision Theory Optimization Random variables Studies Theory of Computation Scalarization Exponential convergence Stochastic multiobjective programming Efficient solution Sample average approximation Probabilistic approach Sample size Multiobjective programming Modeling Stochastic programming Exact solution Efficiency Smoothing Random function
ISSN:	0022-3239, 1573-2878
Online Access:	Get full text
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