Publication:867928

DOI10.1016/J.ORL.2005.10.004zbMATH Open1112.90053OpenAlexW2036105324MaRDI QIDQ867928FDOQ867928

Andrzej Ruszczyński, Nilay Noyan, Gábor Rudolf

Publication date: 19 February 2007

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2005.10.004

zbMATH Keywords

stochastic dominancestochastic programmingvalid inequalitiesdisjunctive programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
• Comparison methods for stochastic models and risks
• Optimization with Stochastic Dominance Constraints
• The Efficiency Analysis of Choices Involving Risk
• A lift-and-project cutting plane algorithm for mixed 0-1 programs
• Disjunctive programming: Properties of the convex hull of feasible points
• Disjunctive Programming
• Ordered Families of Distributions
• Semi-infinite probabilistic optimization: first-order stochastic dominance constrain

Cited In (18)

• Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
• Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball
• Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation
• Multivariate winning probabilities
• A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
• Cut generation for optimization problems with multivariate risk constraints
• Optimization with a class of multivariate integral stochastic order constraints
• Almost stochastic dominance and stocks for the long run
• Stochastic dominance with imprecise information
• Eco-friendly container transshipment route scheduling problem with repacking operations
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints
• Interval-based stochastic dominance: theoretical framework and application to portfolio choices
• Risk aversion for an electricity retailer with second-order stochastic dominance constraints
• Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
• An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
• Three algorithms for graph locally harmonious colouring
• Stochastically weighted stochastic dominance concepts with an application in capital budgeting

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