Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints. (English) Zbl 1267.90009

Sun, Hailin; Xu, Huifu; Meskarian, Rudabeh; Wang, Yong

SIAM J. Optim. 23, No. 1, 602-631 (2013).

MSC:

90-08	Computational methods for problems pertaining to operations research and mathematical programming
90C15	Stochastic programming
90C30	Nonlinear programming
90C90	Applications of mathematical programming

Keywords:

Slater constraint qualification; exact penalization; modified cutting-plane method; level function method