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Mathematical Programming

, Volume 99, Issue 2, pp 329–350 | Cite as

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

  • Darinka Dentcheva
  • Andrzej Ruszczyński
Article

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.

Keywords

Stochastic programming stochastic ordering semi-infinite optimized decomposition 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  1. 1.Department of MathematicsStevens Institute of TechnologyHobokenUSA
  2. 2.Department of Management Science and Information SystemsRutgers UniversityPiscatawayUSA

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