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

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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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Authors and Affiliations

  1. Department of Mathematics, Stevens Institute of Technology, Hoboken, NJ, 07030, USA

    Darinka Dentcheva

  2. Department of Management Science and Information Systems, Rutgers University, Piscataway, NJ, 08854, USA

    Andrzej Ruszczyński

Authors
  1. Darinka Dentcheva
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  2. Andrzej Ruszczyński
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Corresponding author

Correspondence to Darinka Dentcheva.

Additional information

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). https://doi.org/10.1007/s10107-003-0453-z

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  • DOI: https://doi.org/10.1007/s10107-003-0453-z

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