Narrow search
Showing 1 - 5 of 5
Cover Image
Dual methods for probabilistic optimization problems *
Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej - In: Computational Statistics 60 (2004) 2, pp. 331-346
We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...
Persistent link: https://www.econbiz.de/10010759130
Cover Image
Dual methods for probabilistic optimization problems<Superscript>*</Superscript>
Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej - In: Mathematical Methods of Operations Research 60 (2004) 2, pp. 331-346
We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...
Persistent link: https://www.econbiz.de/10010999538
Cover Image
Portfolio Optimization With Stochastic Dominance Constraints
Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004
portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with …
Persistent link: https://www.econbiz.de/10005561562
Cover Image
Inverse stochastic dominance constraints and rank dependent expected utility theory
Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2005
. We develop optimality conditions and duality theory for problems with Lorenz dominance constraints. We prove that …
Persistent link: https://www.econbiz.de/10005125607
Cover Image
Augmented Lagrangian methods for solving optimation problems with stochastic-order constraints
Dentcheva, Darinka; Martinez, Gabriela; Wolfhagen, Eli - In: Operations research 64 (2016) 6, pp. 1451-1465
Persistent link: https://www.econbiz.de/10011620703