The Entropic Penalty Approach to Stochastic Programming

DOI10.1287/MOOR.10.2.263MaRDI QIDQ3680615zbMATH OpenOpenAlexFDO

Authors 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

mean-variance approximationspenalty-type decision-theoretic approachrelative entropy functionalstochastic constraints

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Nonlinear programming (90C30)

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(15)

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• Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• A limit theorem on characteristic functions via an extremal principle
• scientific article; zbMATH DE number 3924511 (Why is no real title available?)
• Exact penalty functions in single-stage stochastic programming¹
• Stochastic penalty method in problems of probabilistic-probabilistic programming
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