Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
Dentcheva, Darinka
Ruszczynski, Andrzej
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
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.