[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/JKMS.2010.47.1.017

DUALITY FOR LINEAR CHANCE-CONSTRAINED OPTIMIZATION PROBLEMS

Bot, Radu Ioan (Chemnitz University of Technology Faculty of Mathematics)
Lorenz, Nicole (Chemnitz University of Technology Faculty of Mathematics)
Wanka, Gert (Chemnitz University of Technology Faculty of Mathematics)

Publication Information

Journal of the Korean Mathematical Society / v.47, no.1, 2010 , pp. 17-28 More about this Journal

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.

Keywords

stochastic programming; conjugate duality; optimality conditions; chance-constraints; portfolio optimization;

Citations & Related Records

Times Cited By Web Of Science : 0 (Related Records In Web of Science)
Times Cited By SCOPUS : 0

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