Ben-Tal, Aharon; Teboulle, Marc - In: Management Science 32 (1986) 11, pp. 1445-1466
We consider nonlinear programming problem (P) with stochastic constraints. The Lagrangean corresponding to such problems has a stochastic part, which in this work is replaced by its certainty equivalent (in the sense of expected utility theory). It is shown that the deterministic surrogate...