Duality for linear chance-constrained optimization problems

DOI10.4134/JKMS.2010.47.1.017MaRDI QIDQ5850811zbMATH OpenFDO

Authors Radu I. Boţ, Nicole Lorenz, Gert Wanka

Publication date 15 January 2010

Published in Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/JKMS.2010.47.1.017

zbMATH Keywords

chance-constraintsconjugate dualityoptimality conditionsportfolio optimizationstochastic programming

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15) Stochastic programming (90C15) Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10) Optimal stochastic control (93E20)

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