If you need an accessible version of this item please contact JSTOR User Support

Penalty Functions and Duality in Stochastic Programming via φ-Divergence Functionals

A. Ben-Tal and M. Teboulle
Mathematics of Operations Research
Vol. 12, No. 2 (May, 1987), pp. 224-240
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/3689686
Page Count: 17
  • Download PDF
  • Cite this Item

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support
Penalty Functions and Duality in Stochastic Programming via φ-Divergence Functionals
Preview not available

Abstract

The paper considers stochastically constrained nonlinear programming problems. A penalty function is constructed in terms of a "distance" between random variables, defined in terms of the φ-divergence functional (a generalization of the relative entropy). A duality theory is developed in which a general relation between φ-divergence and utility functions is revealed, via the conjugate transform, and a new type of certainty equivalent concept emerges.

Page Thumbnails

  • Thumbnail: Page 
224
    224
  • Thumbnail: Page 
225
    225
  • Thumbnail: Page 
226
    226
  • Thumbnail: Page 
227
    227
  • Thumbnail: Page 
228
    228
  • Thumbnail: Page 
229
    229
  • Thumbnail: Page 
230
    230
  • Thumbnail: Page 
231
    231
  • Thumbnail: Page 
232
    232
  • Thumbnail: Page 
233
    233
  • Thumbnail: Page 
234
    234
  • Thumbnail: Page 
235
    235
  • Thumbnail: Page 
236
    236
  • Thumbnail: Page 
237
    237
  • Thumbnail: Page 
238
    238
  • Thumbnail: Page 
239
    239
  • Thumbnail: Page 
240
    240