Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej - In: Computational Statistics 60 (2004) 2, pp. 331-346
We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...
