Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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

Authors:	Darinka Dentcheva Andrzej Ruszczyński

Affiliation:	(1) Department of Mathematics, Stevens Institute of Technology, Hoboken, NJ 07030, USA;(2) Department of Management Science and Information Systems, Rutgers University, Piscataway, NJ 08854, USA

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.This research was supported by the NSF awards DMS-0303545 and DMS-0303728.Key words.Stochastic programming – stochastic ordering – semi-infinite optimized – decomposition

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