Stochastic programs without duality gaps
From MaRDI portal
Publication:1925782
DOI10.1007/s10107-012-0552-9zbMath1274.90247arXiv1105.0934MaRDI QIDQ1925782
Ari-Pekka Perkkiö, Teemu Pennanen
Publication date: 19 December 2012
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0934
parametric optimization; stochastic programming; dynamic programming; convex duality; financial application
90C31: Sensitivity, stability, parametric optimization
90C15: Stochastic programming
90C39: Dynamic programming
46A20: Duality theory for topological vector spaces
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