Stability and Sensitivity of Stochastic Dominance Constrained Optimization Models.

Darinka Dentcheva Werner Römisch

Published in: SIAM J. Optim. (2013)

Keyphrases

constrained optimization
stochastic dominance
unconstrained optimization
constrained optimization problems
penalty functions
penalty function
objective function
probabilistic model
parameter estimation
random variables
augmented lagrangian
constraint handling