Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints

Darinka Dentcheva, Andrzej Ruszczyński

Research output: Contribution to journalArticlepeer-review

94 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)329-350
Number of pages22
JournalMathematical Programming
Volume99
Issue number2
DOIs
StatePublished - Mar 2004

Keywords

  • Decomposition
  • Semi-infinite optimized
  • Stochastic ordering
  • Stochastic programming

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