The duality between expected utility and penalty in stochastic linear programming

Aharon Ben-Tal, Marc Teboulle

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review


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 languageUndefined/Unknown
Title of host publicationStochastic Programming
EditorsF. Archetti, G. Di Pillo, M. Lucertini
Place of PublicationBerlin, Heidelberg
PublisherSpringer Berlin Heidelberg
Number of pages11
ISBN (Print)978-3-540-39729-8
StatePublished - 1986

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