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2003-10-20Buch DOI: 10.18452/8307
Efficient point methods for probabilistic optimization problems
dc.contributor.authorDentcheva, Darinka
dc.contributor.authorLai, Bogumila
dc.contributor.authorRuszczynski, Andrzej
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:55:21Z
dc.date.available2017-06-16T19:55:21Z
dc.date.created2006-03-01
dc.date.issued2003-10-20
dc.date.submitted2003-08-10
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8959
dc.description.abstractWe consider nonlinear stochastic programming problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its subdifferential. Two numerical methods are developed based on approximations of the p-efficient frontier. The algorithms yield an optimal solution for problems involving r-concave probability distributions. For arbitrary distributions, the algorithms provide upper and lower bounds for the optimal value and nearly optimal solutions. The operation of the methods is illustrated on a cash matching problem with a probabilistic liquidity constraint.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectStochastic Programmingeng
dc.subjectConvex Programmingeng
dc.subjectProbabilistic Constraintseng
dc.subjectDual Methodseng
dc.subject.ddc510 Mathematik
dc.titleEfficient point methods for probabilistic optimization problems
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8959-3
dc.identifier.doihttp://dx.doi.org/10.18452/8307
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameSpringer
local.edoc.container-publisher-placeBerlin [u.a.]
local.edoc.container-volume2003
local.edoc.container-issue25
local.edoc.container-year2004
local.edoc.container-erstkatid2936317-2

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