Stochastic Optimization Problems with Incomplete Information on Distribution Functions
Authors: Ermoliev YM, Gaivoronski AA, Nedeva C
Publication Year: 1983
Reference: IIASA Working Paper WP-83-113
Abstract
The main purpose of this paper is to discus: numerical optimization procedures, based on duality theory, for problems in which the distribution function is only partially known. The dual problem is formulated as a minimax-type problem in which the "inner" problem of maximization is not concave. Numerical procedures that avoid the difficulties associated with solving the "inner" problem are proposed.