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

Darinka Dentcheva; Andrzej Ruszczyński

doi:10.1007/s10107-003-0453-z

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

Darinka Dentcheva
, Andrzej Ruszczyński

Rutgers - The State University of New Jersey, New Brunswick

Research output: Contribution to journal › Article › peer-review

104 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 language	English
Pages (from-to)	329-350
Number of pages	22
Journal	Mathematical Programming
Volume	99
Issue number	2
DOIs	https://doi.org/10.1007/s10107-003-0453-z
State	Published - Mar 2004

Keywords

Decomposition
Semi-infinite optimized
Stochastic ordering
Stochastic programming

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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.",

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AU - Ruszczyński, Andrzej

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KW - Decomposition

KW - Semi-infinite optimized

KW - Stochastic ordering

KW - Stochastic programming

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JO - Mathematical Programming

JF - Mathematical Programming

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

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Keywords

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