- DUALITY FOR LINEAR CHANCE-CONSTRAINED OPTIMIZATION PROBLEMS
- Bot, Radu Ioan ; Lorenz, Nicole ; Wanka, Gert ;
- Journal of the Korean Mathematical Society, volume 47, issue 1, 2010, Pages 17~28
- DOI : 10.4134/JKMS.2010.47.1.017

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.