Duality in stochastic linear and dynamic programming

Publication date: 1986

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

PERT stochastic linear programming sufficient condition for stability project planning conditions for optimality integrated chance constraints discrete-time stochastic dynamic programming

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Dynamic programming in optimal control and differential games (49L20) Sensitivity, stability, parametric optimization (90C31) Linear programming (90C05) Stochastic programming (90C15) Deterministic scheduling theory in operations research (90B35) Production models (90B30) Inventory, storage, reservoirs (90B05) Dynamic programming (90C39) Programming in abstract spaces (90C48) Duality theory (optimization) (49N15)

Related Items (39)

ALM models based on second order stochastic dominance ⋮ The effect of regularization in portfolio selection problems ⋮ Medium range optimization of copper extraction planning under uncertainty in future copper prices ⋮ Measure theoretic versions of linear programming ⋮ Statistical approximations for recourse constrained stochastic programs ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Executing join queries in an uncertain distributed environment ⋮ An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management ⋮ Investment evaluation based on the commerical scope. The production of natural gas ⋮ On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management ⋮ Multilinear approximation on rectangles and the related moment problem ⋮ On relations between chance constrained and penalty function problems under discrete distributions ⋮ ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS ⋮ Integrated chance constraints: reduced forms and an algorithm ⋮ Risk-averse dynamic programming for Markov decision processes ⋮ Risk tomography ⋮ Approximation and contamination bounds for probabilistic programs ⋮ Multivariate value at risk and related topics ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ Alternate risk measures for emergency medical service system design ⋮ Risk-averse feasible policies for large-scale multistage stochastic linear programs ⋮ Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study ⋮ An ALM model for pension funds using integrated chance constraints ⋮ Processing second-order stochastic dominance models using cutting-plane representations ⋮ An infeasible-point subgradient method using adaptive approximate projections ⋮ Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints ⋮ On stochastic programming ii: dynamic problems under risk^∗ ⋮ A general concept for solving linear multicriteria programming problems with crisp, fuzzy or stochastic values ⋮ A novel probabilistic formulation for locating and sizing emergency medical service stations ⋮ Solving two-stage stochastic programming problems with level decomposition ⋮ On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management ⋮ A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting ⋮ Sample average approximation of expected value constrained stochastic programs ⋮ A nonconvex dissipative system and its applications. I ⋮ On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty ⋮ Some insights into the solution algorithms for SLP problems ⋮ An XML-based schema for stochastic programs ⋮ Stochastic modelling and optimization for environmental management ⋮ Probabilistic modeling of multiperiod service levels

This page was built for publication: Duality in stochastic linear and dynamic programming