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math.OC2022
Dual solutions in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality g…
math.OC2022★ 1 cited
Duality in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual probl…
math.OC2022★ 1 cited
Dynamic programming in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of…