Necessary and sufficient optimality conditions for two-stage stochastic programming problems

Vlasta Kaňková

Kybernetika (1989)

  • Volume: 25, Issue: 5, page 375-385
  • ISSN: 0023-5954

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Kaňková, Vlasta. "Necessary and sufficient optimality conditions for two-stage stochastic programming problems." Kybernetika 25.5 (1989): 375-385. <http://eudml.org/doc/27489>.

@article{Kaňková1989,
author = {Kaňková, Vlasta},
journal = {Kybernetika},
keywords = {partial derivatives; nonlinear two-stage stochastic programming; necessary and sufficient optimality conditions; convex case; linear- quadratic case},
language = {eng},
number = {5},
pages = {375-385},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Necessary and sufficient optimality conditions for two-stage stochastic programming problems},
url = {http://eudml.org/doc/27489},
volume = {25},
year = {1989},
}

TY - JOUR
AU - Kaňková, Vlasta
TI - Necessary and sufficient optimality conditions for two-stage stochastic programming problems
JO - Kybernetika
PY - 1989
PB - Institute of Information Theory and Automation AS CR
VL - 25
IS - 5
SP - 375
EP - 385
LA - eng
KW - partial derivatives; nonlinear two-stage stochastic programming; necessary and sufficient optimality conditions; convex case; linear- quadratic case
UR - http://eudml.org/doc/27489
ER -

References

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  1. P. Kall, Stochastic Linear Programming, Springer-Verlag, Berlin--Heidelberg--New York 1976. (1976) Zbl0317.90042MR0446504
  2. V. Kaňková, Differentiability of the optimalized function in a two-stage stochastic nonlinear programming problem, Ekonomicko-matematický obzor 14 (1978), 3, 322-330. In Czech. (1978) MR0514885
  3. V. Kaňková, An approximative solution of a stochastic optimization problem, In: Trans. of the Eighth Prague Conference, Academia, Prague 1978, pp. 327-332. (1978) MR0536792
  4. V. Kaňková, Approximative solution of problems of two-stage stochastic nonlinear programming, Ekonomicko-matematický obzor 16 (1980), 1, 64-76. In Czech. (1980) MR0571742
  5. V. Kaňková, A note on the differentiability in two-stage stochastic nonlinear programming problems, Kybernetika 24 (1988), 3, 207-215. (1988) MR0953689
  6. S. Karlin, Mathematical Methods and Theory in Games, Programming, and Economics, Pergamon Press, London--Paris 1959. (1959) 
  7. В. Н. Пшеничный, Ю. М. Данилин: Численные методы в экстремальных задачах, Наука, Москва 1975. (1975) Zbl1170.01354
  8. В. Н. Пшеничный, Необоходимые условия экстремума, Наука, Москва 1982. (1982) Zbl1170.01407
  9. R. T. Rockafellar, Convex Analysis, Princeton Press, New Jersey 1970. (1970) Zbl0193.18401MR0274683
  10. R. T. Rockafellar, R. J.-B. Wets, Stochastic convex programming: basic duality, Pacific J. Math. 62 (1976), 173-195. (1976) Zbl0339.90048MR0416582
  11. R. T. Rockafellar, R. J.-B. Wets, The optimal recourse problem in discrete time: L 1 -multiplies for inequality constraints, SIAM J. Control Optim. 16 (1978), 1, 16-36. (1978) Zbl0397.90078MR0496664
  12. S. Vogel, Necessary optimality conditions for two-stage stochastic programming problems, Optimization 16 (1985), 4, 607-616. (1985) Zbl0579.90073MR0791369

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