Nonanticipativity in stochastic programming

DOI10.1007/BF00938756zbMath0542.90071OpenAlexW122882628MaRDI QIDQ795731

Sjur Didrik Flåm

Publication date: 1985

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00938756

zbMATH Keywords

multistage stochastic programmingstrong duality

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Numerical methods based on nonlinear programming (49M37) Duality theory (optimization) (49N15)

Related Items (3)

Optimal match-up strategies in stochastic scheduling ⋮ Subregular recourse in nonlinear multistage stochastic optimization ⋮ Stochastic programming approaches to stochastic scheduling

Cites Work

• Extension of Fenchel's duality theorem for convex functions
• Integrals which are convex functionals. II
• Unnamed Item

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