Augmented Lagrangian methods for solving optimation problems with stochastic-order constraints
Year of publication: |
November-December 2016
|
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Authors: | Dentcheva, Darinka ; Martinez, Gabriela ; Wolfhagen, Eli |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 64.2016, 6, p. 1451-1465
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Subject: | stochastic order | risk | multivariate dominance relation | increasing convex order | duality | optimization | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
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