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Abstract: Recently sample-path methods have been successfully used in solving challenging simulation optimization and stochastic equilibrium problems. In this paper we deal with a variant of these methods to solve stochastic optimization problems with stochastic constraints. Using optimality conditions, we convert the problem to a stochastic variational inequality. We outline a set of sufficient conditions for the almost-sure convergence of the method. We also illustrate an application by using the... (Update)
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BibTeX entry: (Update)
G urkan, G., Ozge, A. Y., and Robinson, S. M. Solving stochastic optimization problems with stochastic constraints: An application in network design. WSC99 http://citeseer.ist.psu.edu/urkan99solving.html More
@misc{ urkan-solving,
author = "G. urkan and G. Ozge and A. Robinson",
title = "Solving stochastic optimization problems with stochastic constraints: An
application in network design",
text = "G urkan, G., Ozge, A. Y., and Robinson, S. M. Solving stochastic optimization
problems with stochastic constraints: An application in network design.
WSC99",
url = "citeseer.ist.psu.edu/urkan99solving.html" }
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