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2003-06-18Buch DOI: 10.18452/8289
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
Dentcheva, Darinka
Ruszczynski, Andrzej
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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DOI
10.18452/8289
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