Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals

DOI10.1287/MOOR.12.2.224MaRDI QIDQ3026758zbMATH OpenOpenAlexFDO

Authors Aharon Ben-Tal, Marc Teboulle

Publication date 1987

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

Full work available at URL https://doi.org/10.1287/moor.12.2.224

zbMATH Keywords

\(\phi \)-divergence functionaldualitypenalty functionstochastically constrained non-linear programming problemsutility functions

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16)

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Cited in

(37)

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• Equilibrium pricing in incomplete markets under translation invariant preferences
• Optimal stopping under model uncertainty: randomized stopping times approach
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
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• RISK MEASURES ON ORLICZ HEARTS
• The Entropic Penalty Approach to Stochastic Programming
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• Probabilistic sophistication, second order stochastic dominance and uncertainty aversion
• Distributionally robust stochastic programming
• On a class of law invariant convex risk measures
• Robustness in the optimization of risk measures
• Optimal stopping under uncertainty in drift and jump intensity
• Estimation of individualized decision rules based on an optimized covariate-dependent equivalent of random outcomes
• Robust portfolio choice and indifference valuation
• Distributionally robust stochastic variational inequalities
• A distributionally ambiguous two-stage stochastic approach for investment in renewable generation
• Risk-averse stochastic optimal control: an efficiently computable statistical upper bound
• Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
• Bayesian Distributionally Robust Optimization
• Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures
• Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data
• The generalized cross entropy method, with applications to probability density estimation
• Adaptive preferences: an evolutionary model of non-expected utility and ambiguity aversion
• Dislocation hyperbolic kernel function
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
• Sum-of-squares relaxations for information theory and variational inference
• Dual characterization of properties of risk measures on Orlicz hearts
• Semi-iterative minimum cross-entropy algorithms for rare-events, counting, combinatorial and integer programming

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