Rubinstein, Y.R.; Kreimer, J. - In: Mathematics and Computers in Simulation (MATCOM) 28 (1986) 3, pp. 169-188
Consider the following nonlinear programming (NLP) problem: minxg0(x)=minx∫ψ(x, y)fY(y, x) dy=min E[ψ0(x, Y)]s.t.gj(x)=∫ψj(x, y)ƒY(x, y) dy=E[ψj(x, Y)] ⩽ 0, j=1,…,M,where x ∈ X ⊂ Rn,y∈ D ⊂ Rm, ψj(x,Y), j=0,1,…,M are given functions, and fT(y, x)is a probability density...