The Duality between Expected Utility and Penalty in Stochastic Linear Programming.

Abstract

This document studies the dual problem corresponding to a linear program in which the stochastic objective function is replaced by its expected utility, and discusses its relevance as a penalty method to a stochastically constrained dual linear program.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1983
Accession Number
ADA141393

Entities

People

  • A. Ben-tai
  • Marc Teboulle

Organizations

  • University of Texas at Austin

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Abstracts
  • Additives (Chemicals)
  • Applied Mathematics
  • Computer Programming
  • Computing-Related Activities
  • Industrial Engineering
  • Inequalities
  • Linear Programming
  • Mathematical Programming
  • New York
  • Nonlinear Programming
  • Operations Research
  • Probability
  • Random Variables
  • United States
  • United States Government
  • Universities

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.