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Dual methods for probabilistic optimization problems* · Study

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ArticleDual methods for probabilistic optimization problems*

Darinka Dentcheva2004

Article2004

Dual methods for probabilistic optimization problems*

Darinka Dentcheva · Bogumila Lai · Andrzej Ruszczyński

52 citations·0/0 files stored·Mathematical Methods of Operations Research

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Risk and Portfolio Optimization Optimization and Variational Analysis Advanced Optimization Algorithms Research

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References

2002Dual Stochastic Dominance and Related Mean-Risk Models 2003Optimization with Stochastic Dominance Constraints 2000Concavity and efficient points of discrete distributions in probabilistic programming 2004Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints

Cited by

2010A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality 2012A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution 2010Mathematical programming approaches for generating p-efficient points 2012Regularization methods for optimization problems with probabilistic constraints 2016Probabilistic optimization via approximate p-efficient points and bundle methods 2018A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints 2014A Smoothing Function Approach to Joint Chance-Constrained Programs 2010Pattern definition of the p-efficiency concept

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Year2004

Typearticle

Published2004-10-01

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations52

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s001860400371

openalex_workW2010811500

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