The Entropic Penalty Approach to Stochastic Programming

DOI10.1287/moor.10.2.263zbMath0565.90052MaRDI QIDQ3680615

Aharon Ben-Tal

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1287/moor.10.2.263

zbMATH Keywords

stochastic constraints; relative entropy functional; mean-variance approximations; penalty-type decision-theoretic approach

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C30: Nonlinear programming

90C15: Stochastic programming

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