A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS (Q2846481): Difference between revisions

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scientific article

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English	A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS	scientific article

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instance of

scholarly article

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title

A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS (English)

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Asia-Pacific Journal of Operational Research

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publication date

5 September 2013

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zbMATH Keywords

second-order dominance

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exact penalization

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sample average approximation

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portfolio optimization

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MaRDI profile type

MaRDI publication profile

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cites work

Optimization and nonsmooth analysis

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Optimization with Stochastic Dominance Constraints

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Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints

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Processing second-order stochastic dominance models using cutting-plane representations

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A parametric view on the Mangasarian-Fromovitz constraint qualification

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On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling

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Sample average approximation of stochastic dominance constrained programs

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The Cutting-Plane Method for Solving Convex Programs

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New variants of bundle methods

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Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization

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From stochastic dominance to mean-risk models: Semideviations as risk measures

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Differentiability and semismoothness properties of integral functions and their applications

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Implicit smoothing and its application to optimization with piecewise smooth equality constraints

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Analysis of Sample-Path Optimization

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Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods

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Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation

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Level function method for quasiconvex programming.

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Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming

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Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications

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full work available at URL

https://doi.org/10.1142/s0217595913400022

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Identifiers

zbMATH Open document ID

1273.90139

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DOI

10.1142/S0217595913400022

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2846481

@@ Property / cites work @@
+Optimization and nonsmooth analysis
@@ Property / cites work: Optimization and nonsmooth analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization with Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
+Normal rank
@@ Property / cites work @@
+Processing second-order stochastic dominance models using cutting-plane representations
+Normal rank
@@ Property / cites work @@
+A parametric view on the Mangasarian-Fromovitz constraint qualification
+Normal rank
@@ Property / cites work @@
+On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
+Normal rank
@@ Property / cites work @@
+Sample average approximation of stochastic dominance constrained programs
+Normal rank
@@ Property / cites work @@
+The Cutting-Plane Method for Solving Convex Programs
+Normal rank
@@ Property / cites work @@
+New variants of bundle methods
@@ Property / cites work: New variants of bundle methods / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
+Normal rank
@@ Property / cites work @@
+From stochastic dominance to mean-risk models: Semideviations as risk measures
+Normal rank
@@ Property / cites work @@
+Differentiability and semismoothness properties of integral functions and their applications
+Normal rank
@@ Property / cites work @@
+Implicit smoothing and its application to optimization with piecewise smooth equality constraints
+Normal rank
@@ Property / cites work @@
+Analysis of Sample-Path Optimization
@@ Property / cites work: Analysis of Sample-Path Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
+Normal rank
@@ Property / cites work @@
+Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
+Normal rank
@@ Property / cites work @@
+Level function method for quasiconvex programming.
+Normal rank
@@ Property / cites work @@
+Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
+Normal rank
@@ Property / cites work @@
+Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0217595913400022
+Normal rank
@@ Property / OpenAlex ID @@
+W2105055176
@@ Property / OpenAlex ID: W2105055176 / rank @@
+Normal rank