haku: @indexterm UTILITY THEORY / yhteensä: 246
viite: 129 / 246
| Tekijä: | Ben-Tal, A. Teboulle, M. |
| Otsikko: | Expected utility, penalty functions, and duality in stochastic nonlinear programming. |
| Lehti: | Management Science
1986 : NOV, VOL. 32:11, p. 1445-1466 |
| Asiasana: | STOCHASTIC PROCESSES NONLINEAR PROGRAMMING UTILITY THEORY |
| Kieli: | eng |
| Tiivistelmä: | Nonlinear programming problem with stochastic constraints is considered. The Lagrangean corresponding to such problems has a stochastic part,which is replaced by its certainty equivalent. It is shown that the deterministic surrogate problem /CE-P/,thus obtained, contains a penalty function which penalizes violation of the constraints in the mean. The approach is related to several known methods in stochastic programming. The dual problem of CE-P is studied and a comprehensive duality theory is developed by introducing a new certainty equivalent concept. |
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