Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals.
Aharon Ben-TalMarc TeboullePublished in: Math. Oper. Res. (1987)
Keyphrases
- stochastic programming
- penalty functions
- linear program
- multistage
- linear programming
- objective function
- penalty function
- chance constrained
- constrained optimization
- higher order
- special case
- robust optimization
- asset liability management
- estimation problems
- optimal solution
- artificial intelligence
- primal dual
- optimal policy
- feature space
- bayesian networks
- neural network