We study the dual problem corresponding to a linear program in which the stochastic objective function is replaced by its expected utility, and discuss its relevance as a penalty method to a stochastically constrained dual linear program.
|Title of host publication||Stochastic Programming|
|Editors||F. Archetti, G. Di Pillo, M. Lucertini|
|Place of Publication||Berlin, Heidelberg|
|Publisher||Springer Berlin Heidelberg|
|Number of pages||11|
|State||Published - 1986|