Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
نویسندگان
چکیده
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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عنوان ژورنال:
- Math. Program.
دوره 99 شماره
صفحات -
تاریخ انتشار 2004