A dual algorithm for probabilistic constrained problem of stochastic convex programming

MaRDI QIDQ3609102zbMATH OpenFDO

Authors Heng-Yong Tang, Chuanli Zhao

Publication date 6 March 2009

zbMATH Keywords

convex programmingdual theoryprobabilistic constrained problemstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimality conditions and duality in mathematical programming (90C46)

Recommendations

• scientific article; zbMATH DE number 4174668
• A dual method for probabilistic constrained problems
• On properties of the probabilistic contrained linear programming problem and its dual
• scientific article; zbMATH DE number 124612
• A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming

Cited in

(15)

• Stochastic programming duality: \({\mathcal L}^\infty\) multipliers for unbounded constraints with an application to mathematical finance
• A novel algorithm of stochastic chance-constrained linear programming and its application
• A stochastic primal-dual method for a class of nonconvex constrained optimization
• scientific article; zbMATH DE number 4174668 (Why is no real title available?)
• scientific article; zbMATH DE number 3854816 (Why is no real title available?)
• A dual method for probabilistic constrained problems
• An Extension of the DQA Algorithm to Convex Stochastic Programs
• scientific article; zbMATH DE number 2161081 (Why is no real title available?)
• On a dual method for a specially structured linear programming problem with application to stochastic programming
• scientific article; zbMATH DE number 938962 (Why is no real title available?)
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• Primal-dual constraint aggregation with application to stochastic programming
• A method of solving a stochastic programming problem with constraints which are almost surely satisfied
• Dual methods for probabilistic optimization problems.
• \(\alpha \)-conservative approximation for probabilistically constrained convex programs

This page was built for publication: A dual algorithm for probabilistic constrained problem of stochastic convex programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3609102)