Duality and optimality in multistage stochastic programming

DOI10.1023/A:1018909508556MaRDI QIDQ1289293zbMATH OpenFDO

Authors R. T. Rockafellar

Publication date 28 June 1999

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1018909508556

zbMATH Keywords

Fenchel dualitymultistage stochastic programmingscenario tree

Mathematics Subject Classification ID

Stochastic programming (90C15)

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• Periodical multistage stochastic programs
• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
• Dual SDDP for risk-averse multistage stochastic programs
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• Wolfe type duality on quasidifferentiable mathematical programs with vanishing constraints
• Harvest planning under uncertainty for ocean-based salmon aquaculture

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