2003-06-18Buch DOI: 10.18452/8289
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
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.
Is Part Of Series: Mathematical programming, 99, 2, 2004