Access

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.

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 ($30.00)
  • Cite this Item
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