Some questions concerning the approximation of the optimal value of infinite-dimensional problems in linear programming

1968 ◽  
Vol 9 (4) ◽  
pp. 591-601 ◽  
Author(s):  
A. M. Vershik ◽  
V. Temel't
Keyword(s):  
Linear Programming ◽  
Infinite Dimensional ◽  
Optimal Value

scholarly journals On quantitative stability in infinite-dimensional optimization under uncertainty

2021 ◽  
Author(s):  
M. Hoffhues ◽  
W. Römisch ◽  
T. M. Surowiec
Keyword(s):  
Stochastic Optimization ◽  
Constrained Optimization ◽  
Optimization Problems ◽  
Optimization Under Uncertainty ◽  
Optimal Solutions ◽  
Probability Metrics ◽  
Pde Constrained Optimization ◽  
Quantitative Stability ◽  
Infinite Dimensional ◽  
Optimal Value

AbstractThe vast majority of stochastic optimization problems require the approximation of the underlying probability measure, e.g., by sampling or using observations. It is therefore crucial to understand the dependence of the optimal value and optimal solutions on these approximations as the sample size increases or more data becomes available. Due to the weak convergence properties of sequences of probability measures, there is no guarantee that these quantities will exhibit favorable asymptotic properties. We consider a class of infinite-dimensional stochastic optimization problems inspired by recent work on PDE-constrained optimization as well as functional data analysis. For this class of problems, we provide both qualitative and quantitative stability results on the optimal value and optimal solutions. In both cases, we make use of the method of probability metrics. The optimal values are shown to be Lipschitz continuous with respect to a minimal information metric and consequently, under further regularity assumptions, with respect to certain Fortet-Mourier and Wasserstein metrics. We prove that even in the most favorable setting, the solutions are at best Hölder continuous with respect to changes in the underlying measure. The theoretical results are tested in the context of Monte Carlo approximation for a numerical example involving PDE-constrained optimization under uncertainty.

scholarly journals Shadow Prices in Infinite-Dimensional Linear Programming

1998 ◽  
Vol 23 (1) ◽  
pp. 239-256 ◽  
Author(s):  
H. Edwin Romeijn ◽  
Robert L. Smith
Keyword(s):  
Linear Programming ◽  
Shadow Prices ◽  
Infinite Dimensional

Duality gap function in infinite dimensional linear programming

2016 ◽  
Vol 437 (1) ◽  
pp. 1-15 ◽  
Author(s):  
N.T. Vinh ◽  
D.S. Kim ◽  
N.N. Tam ◽  
N.D. Yen
Keyword(s):  
Linear Programming ◽  
Gap Function ◽  
Duality Gap ◽  
Infinite Dimensional

Controller Design via Infinite-Dimensional Linear Programming

1993 ◽  
Author(s):  
Nicola Elia ◽  
Munther A. Dahleh ◽  
Ignacio J. Diaz-Bobillo
Keyword(s):  
Linear Programming ◽  
Controller Design ◽  
Infinite Dimensional
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