Stochastic programs without duality gaps

Teemu Pennanen; Ari-Pekka Perkkio

doi:10.1007/s10107-012-0552-9

Stochastic programs without duality gaps

Teemu Pennanen, Ari-Pekka Perkkio

Research output: Contribution to journal › Article › peer-review

20 Citations (Scopus)

Abstract

This paper studies dynamic stochastic optimization problems parameterized 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 that generalize certain no-arbitrage conditions from mathematical finance.

Original language	English
Pages (from-to)	91-110
Journal	MATHEMATICAL PROGRAMMING
Volume	136
Issue number	1
DOIs	https://doi.org/10.1007/s10107-012-0552-9
Publication status	Published - Dec 2012

Access to Document

10.1007/s10107-012-0552-9

http://arxiv.org/abs/1105.0934

Cite this

@article{f167ae4324464419a50a3c900aa16fe6,

title = "Stochastic programs without duality gaps",

abstract = "This paper studies dynamic stochastic optimization problems parameterized 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 that generalize certain no-arbitrage conditions from mathematical finance.",

author = "Teemu Pennanen and Ari-Pekka Perkkio",

year = "2012",

month = dec,

doi = "10.1007/s10107-012-0552-9",

language = "English",

volume = "136",

pages = "91--110",

journal = "MATHEMATICAL PROGRAMMING",

issn = "0025-5610",

publisher = "Springer-Verlag GmbH and Co. KG",

number = "1",

}

TY - JOUR

T1 - Stochastic programs without duality gaps

AU - Pennanen, Teemu

AU - Perkkio, Ari-Pekka

PY - 2012/12

Y1 - 2012/12

N2 - This paper studies dynamic stochastic optimization problems parameterized 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 that generalize certain no-arbitrage conditions from mathematical finance.

AB - This paper studies dynamic stochastic optimization problems parameterized 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 that generalize certain no-arbitrage conditions from mathematical finance.

U2 - 10.1007/s10107-012-0552-9

DO - 10.1007/s10107-012-0552-9

M3 - Article

SN - 0025-5610

VL - 136

SP - 91

EP - 110

JO - MATHEMATICAL PROGRAMMING

JF - MATHEMATICAL PROGRAMMING

IS - 1

ER -

Stochastic programs without duality gaps

Abstract

Access to Document

Fingerprint

Cite this