منابع مشابه
Stochastic programs without duality gaps
This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of solutions and the absence of a duality gap. Our proof uses extended dynamic programming equations, whose validity is established under new relaxed conditions tha...
متن کاملStochastic programs without duality gaps for objectives without a lower bound
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap under conditions that relax the boundedness assumption made by Pennanen and Perkkiö in [Stochastic programs without duality gaps, Math. Program., 136(1):91–1...
متن کاملDuality gaps in nonconvex stochastic optimization
We consider multistage stochastic optimization models containing nonconvex constraints, e.g., due to logical or integrality requirements. We study three variants of Lagrangian relaxations and of the corresponding decomposition schemes, namely, scenario, nodal and geographical decomposition. Based on convex equivalents for the Lagrangian duals, we compare the duality gaps for these decomposition...
متن کاملA Group Theoretic Dual Problem without Duality Gaps for Bounded Integer Programs
We present a procedure for constructing a group theoretic dual problem with no duality gap to a given bounded integer programming problem. An optimal solution of this dual problem is easily determined and an optimal solution of the integer programming problem can be obtained by solving only one group optimization problem.
متن کاملApproximations to Stochastic Dynamic Programs via Information Relaxation Duality
In the analysis of complex stochastic dynamic programs (DPs), we often seek strong theoretical guarantees on the suboptimality of heuristic policies: a common technique for obtaining such guarantees is perfect information analysis. This approach provides bounds on the performance of an optimal policy by considering a decision maker who has access to the outcomes of all future uncertainties befo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2012
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-012-0552-9