The duality between expected utility and penalty in stochastic linear programming

Aharon Ben-Tal; Marc Teboulle

The duality between expected utility and penalty in stochastic linear programming

School of Mathematical Sciences

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

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.

Original language	Undefined/Unknown
Title of host publication	Stochastic Programming
Editors	F. Archetti, G. Di Pillo, M. Lucertini
Place of Publication	Berlin, Heidelberg
Publisher	Springer Berlin Heidelberg
Pages	151-161
Number of pages	11
ISBN (Print)	978-3-540-39729-8
State	Published - 1986

Cite this

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title = "The duality between expected utility and penalty in stochastic linear programming",

abstract = "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.",

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AU - Ben-Tal, Aharon

AU - Teboulle, Marc

PY - 1986

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N2 - 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.

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SN - 978-3-540-39729-8

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BT - Stochastic Programming

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A2 - Lucertini, M.

PB - Springer Berlin Heidelberg

CY - Berlin, Heidelberg

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