Andrzej Ruszczynski, Rutgers University
(SPEPS)
Springer (Berlin [u.a.])
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| edoc-Server der Humboldt-Universität zu Berlin |
| 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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Endnote Bibtex |
| 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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