Duality relations and optimality conditions in linear stochastic programming

DOI10.1007/BF01068815MaRDI QIDQ4732308zbMATH OpenFDO

Authors A. I. Yastremskiĭ

Publication date 1987

Published in Cybernetics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01068815

zbMATH Keywords

duality relationsmultistage stochastic programmingoperator constraintsoptimality conditionsSlater conditionstochastic Lagrange multipliers

Mathematics Subject Classification ID

Optimality conditions for free problems in two or more independent variables (49K10) Duality theory (optimization) (49N15) Linear programming (90C05) Stochastic programming (90C15)

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Cites work

• Stochastic Convex Programming: Relatively Complete Recourse and Induced Feasibility
• Sufficient conditions for extremum, penalty functions and regularity
• The Optimal Recourse Problem in Discrete Time: L^1 -Multipliers for Inequality Constraints

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(13)

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• Stochastic programming duality: \({\mathcal L}^\infty\) multipliers for unbounded constraints with an application to mathematical finance
• Duality and martingales: a stochastic programming perspective on contingent claims
• A finite-dimensional approach to infinite-dimensional constraints in stochastic programming duality
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Extremum conditions for a multistep stochastic programming problem with smooth constraints
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• Lagrange Multipliers in Stochastic Programming
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• A new approach to stochastic linear programming
• Optimality conditions for convex stochastic optimization problems in Banach spaces with almost sure state constraints
• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
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