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SPEPS Preprint

Author(s): Darinka Dentcheva, Stevens Institute of Technology
Andrzej Ruszczynski, Rutgers University
Title: Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
Date of Acceptance: 18.06.2003
Submission Date: 15.06.2003
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Keywords (eng): Stochastic Programming, Duality, Stochastic Dominance, Optimality, Decomposition
Appeared in: Mathematical programming 2 (Vol. 99, 2004)
Springer (Berlin [u.a.])
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Abstract (eng):
We consider a new class of optimization problems involving stochastic dominance constraints of second order. We develop a new splitting approach to these models, optimality conditions and duality theory. These results are used to construct special decomposition methods.
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  • PDF – 139 (4.21 pro Monat)
 
 
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