Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
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Publication:3028727
DOI10.1287/mnsc.32.11.1445zbMath0625.90064OpenAlexW2069826626MaRDI QIDQ3028727
Publication date: 1986
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.32.11.1445
certainty equivalentminimax theoremspenalty functionsduality theoryexpected utilitymean-variancestochastic constraints
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