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

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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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Correspondence to Darinka Dentcheva.

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This research was supported by the NSF awards DMS-0303545 and DMS-0303728.

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Dentcheva, D., Ruszczyński, A. Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Math. Program., Ser. A 99, 329–350 (2004).

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