|edoc-Server der Humboldt-Universität zu Berlin|
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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||Stochastic Programming, Duality, Stochastic Dominance, Optimality, Decomposition|
Mathematical programming 2 (Vol. 99, 2004)
Springer (Berlin [u.a.])
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|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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