Advanced search
Publication Cover
Optimization
A Journal of Mathematical Programming and Operations Research
Volume 21, 1990 - Issue 5
Submit an article Journal homepage
22
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Exact penalty functions in single-stage stochastic programmingFootnote1

S.D. Flåm Dept. of Economics, University of Bergen, Jonas Reinsgate 19, Bergen - U, N - 5014, Norway
&
J. Zowe Dept. of Mathematics, University of Bayreuth, Postfaeh 3008, Bayreuth, D - 8580
Pages 723-734 | Received 01 Sep 1988, Published online: 27 Jun 2007

References

  • Ben-Tal , A. 1985 . The Entropie Penalty Approach to Stochastic Programming . Math. of Oper. Res , 10 : 263 – 279 .
  • Ben-Tal , A. and Terboulle , M. 1986 . Expected Utility, Penalty Function, and Duality in Stochastic Nonlinear Programming . Management Sci , 32 : 1445 – 1446 .
  • Ben-Tal , A. and Terboulle , M. 1987 . Penalty functions and duality in stochastic programming via Ø-divergence functionais . Mathem. of Operations Research , 32 : 224 – 240 .
  • Clarke , F.H. 1983 . Optimization and Nonsmooth Analysis , New York : J. Wiley .
  • Conn , A.R. and Gould , N.I.M. 1987 . An exact penalty function for semi-infinite programming . Math. Programming , 37 : 19 – 40 .
  • Flam , S.D. 1988 . LAGBANGE Multipliers in Stochastic Programming , University of Bergen . Working Paper, Dept. of Economics
  • Fletcher , R. 1983 . “ Penalty Functions ” . In Mathematical Programming Bonn 1982: The State of the Art , Edited by: Bachem , A. 87 – 117 . Berlin : Springer-Verlag .
  • Gustafson , S.A. and Kortaner , K.O. 1983 . “ Semi-Infinite Programming and Applications ” . In Mathematical Programming Bonn 1982: The State of the Art , Edited by: Bachem , A. 132 – 157 . Berlin : Springer-Verlag .
  • Hiriart-Urruty , J.B. 1978 . Conditionnes necessaires d'optimalité pour un programme stochastique avec recours . SIAM J. of Control and Optimization , 16 : 317 – 329 .
  • Kantorovich , L.V. and Akilov , G.P. 1982 . Functional Analysis , New York : Pergamon Press .
  • Rockafeller , R.T. 1974 . “ Conjugate Duality and Optimization ” . In CBMS Lecture Note , SIAM Publications . Series 16
  • Rockafellar , R.T. and Wets , R.J.B. 1977 . Measures as Lagrange Multipliers in Multistage Stochastic Programming . J. of Math. Anal. and Applic , 60 : 301 – 312 .
  • Wets , R.J.B. 1983 . “ Stochastic Programming: Solution Techniques and Approximation Schemes ” . In Mathematical Programming Bonn 1982: The State of the Art , 556 – 603 . Berlin : Springer Verlag .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.