Showing 2021 · math.OCShow all
2 papers · 2 filters
math.OC2021
Entropic Regularization of the Nested Distance
Zheng Qu, Benoît Tran
In 2012, Pflug and Pichler proved, under regularity assumptions, that the value function in Multistage Stochastic Programming (MSP) is Lipschitz continuous w.r.t. the Nested Distan…
math.OC2021
Minimization Interchange Theorem on Posets
Jean-Philippe Chancelier, Michel de Lara, Benoît Tran
Interchange theorems between minimization and integration are useful in optimization, especially in optimal control and in stochastic optimization. In this article, we establish a…