Jiri V. Outrata,
Werner Römisch
Preprint series:
Institut für Mathematik, Humboldt-Universität zu Berlin (ISSN 0863-0976), Humboldt-Universitt zu Berlin (ISSN 0863-0976), 02-4
MSC 2000
- 49J52 Nonsmooth analysis
-
90C15 Stochastic programming
Abstract
The paper deals with the minimization of an
integral functional
over an $L^{p}$ space subject to various types
of constraints.
For such optimization problems new necessary
optimality
conditions are derived, based on several concepts of
nonsmooth analysis. In particular, we employ the generalized
differential calculus of Mordukhovich and the fuzzy calculus of
proximal subgradients. The results are specialized to nonsmooth
two-stage and multistage stochastic programs.