R.T. Rockafellar and R.J-B Wets. The optimal recourse problem in discrete time: -multipliers for inequality constraints. SIAM J. Control and Optimization, 161: 16--36, 1978. Home/Search Document Not in Database Summary Related Articles Check |
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Stochastic Programming Duality: L∞ Multipliers for Unbounded .. - Korf (Correct)
.... complete recourse is a type of constraint qualification that was used along with the strict to invoke the duality theorems which currently comprise the theoretical stochastic programming literature, brought about in the latter half of the 1970 s by Eisner and Olsen [3] and Rockafellar and Wets [10, 8, 12]. The approach here forgoes both strict feasibility and relatively complete recourse for a constraint qualification of a di#erent nature. The problem is said to have direction free feasibility if it is feasible and the recession cone of K 1 K 2 , K 1 K 2 ] # : K 2 for all ....
R.T. Rockafellar and R.J-B Wets. The optimal recourse problem in discrete time: -multipliers for inequality constraints. SIAM J. Control and Optimization, 161: 16--36, 1978.
Martingale Pricing Measures in Incomplete Markets via.. - King, Korf (2002) (Correct)
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R.T. Rockafellar and R.J-B Wets. The optimal recourse problem in discrete time: -multipliers for inequality constraints. SIAM J. Control and Optimization, 161: 16--36, 1978.
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