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DUALITY FOR LINEAR CHANCE-CONSTRAINED OPTIMIZATION PROBLEMS
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 Title & Authors
DUALITY FOR LINEAR CHANCE-CONSTRAINED OPTIMIZATION PROBLEMS
Bot, Radu Ioan; Lorenz, Nicole; Wanka, Gert;
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 Abstract
In this paper we deal with linear chance-constrained optimization problems, a class of problems which naturally arise in practical applications in finance, engineering, transportation and scheduling, where decisions are made in presence of uncertainty. After giving the deterministic equivalent formulation of a linear chance-constrained optimization problem we construct a conjugate dual problem to it. Then we provide for this primal-dual pair weak sufficient conditions which ensure strong duality. In this way we generalize some results recently given in the literature. We also apply the general duality scheme to a portfolio optimization problem, a fact that allows us to derive necessary and sufficient optimality conditions for it.
 Keywords
stochastic programming;conjugate duality;optimality conditions;chance-constraints;portfolio optimization;
 Language
English
 Cited by
1.
Random-payoff two-person zero-sum game with joint chance constraints, European Journal of Operational Research, 2016, 252, 1, 213  crossref(new windwow)
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