Penalty Functions and Duality in Stochastic Programming via phi-Divergence Functionals.

Abstract

This paper considers stochastically constrained nonlinear programming problems, A penalty type method is suggested as a deterministic surrogate. The penalty is constructed in terms of a 'distance' function between random variables, given a term of the phi-divergence functional (a generalization of the relative entropy). A duality theory is developed in which a general relation between phi-divergence and utility functions is revealed, via the conjugate transform, and a new type of certainty equivalent concept emerges. Additional keywords: computations; vector analysis.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1984
Accession Number
ADA153985

Entities

People

  • A. Ben-tal
  • Marc Teboulle

Organizations

  • University of Texas at Austin

Tags

DTIC Thesaurus Topics

  • Business Administration
  • Distribution Functions
  • Information Theory
  • Kernel Functions
  • Linear Programming
  • Mathematical Programming
  • Mathematics
  • Optimization
  • Probability
  • Probability Distributions
  • Random Variables
  • Theorems
  • United States
  • United States Government
  • Universities
  • Vector Spaces

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