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Composite semi-infinite optimization

Dentcheva D., Ruszczyński A.

Control and Cybernetics

2007

Vol. 36, no 3

633-646

We consider a semi-infinite optimization problem in Banach spaces, where both the objective functional and the constraint operator are compositions of convex nonsmooth mappings and differentiable mappings. We derive necessary optimality conditions for these problems. Finally, we apply these results to non-convex stochastic optimization problems with stochastic dominance constraints, generalizing earlier results.