Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse (Q4641665): Difference between revisions

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scientific article; zbMATH DE number 6870140

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English	Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse	scientific article; zbMATH DE number 6870140

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instance of

scholarly article

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title

Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse (English)

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zbMATH Open document ID

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SIAM Journal on Optimization

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publication date

18 May 2018

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Mathematics Subject Classification ID

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stochastic dominance

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distributionally robust

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quantitative stability

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stochastic programming

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probability metrics

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describes a project that uses

DDSIP

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MaRDI profile type

MaRDI publication profile

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cites work

Q3182207

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Q4269108

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Risk aversion for an electricity retailer with second-order stochastic dominance constraints

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Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

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Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints

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Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse

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Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints

0 references

Stability and Sensitivity of Stochastic Dominance Constrained Optimization Models

0 references

Optimization with Stochastic Dominance Constraints

0 references

Q3632460

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Optimization with multivariate stochastic dominance constraints

0 references

Robust stochastic dominance and its application to risk-averse optimization

0 references

Optimization with Multivariate Stochastic Dominance Constraints

0 references

Improving the Power of Tests of Stochastic Dominance

0 references

An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse

0 references

A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse

0 references

Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse

0 references

Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint

0 references

Quantitative stability of full random two-stage stochastic programs with recourse

0 references

Sample average approximation of stochastic dominance constrained programs

0 references

Stochastic Dominance

0 references

Stability analysis of stochastic programs with second order dominance constraints

0 references

Robust utility maximization under convex portfolio constraints

0 references

Robust control problems associated with the multilayer quasi-geostrophic equations of the ocean

0 references

Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization

0 references

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

0 references

Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition

0 references

Approximations for Probability Distributions and Stochastic Optimization Problems

0 references

Quantitative stability analysis for minimax distributionally robust risk optimization

0 references

Q3999495

0 references

Variational Analysis

0 references

Q4830009

0 references

Risk-averse dynamic programming for Markov decision processes

0 references

Q2925334

0 references

Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints

0 references

Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems

0 references

Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints

0 references

Stochastic Programs with Recourse

0 references

Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods

0 references

Robust consumption-investment problem on infinite horizon

0 references

Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4641665

@@ Property / cites work @@
+Q3182207
@@ Property / cites work: Q3182207 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk aversion for an electricity retailer with second-order stochastic dominance constraints
+Normal rank
@@ Property / cites work @@
+Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
+Normal rank
@@ Property / cites work @@
+Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints
+Normal rank
@@ Property / cites work @@
+Stability and Sensitivity of Stochastic Dominance Constrained Optimization Models
+Normal rank
@@ Property / cites work @@
+Optimization with Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Q3632460
@@ Property / cites work: Q3632460 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization with multivariate stochastic dominance constraints
+Normal rank
@@ Property / cites work @@
+Robust stochastic dominance and its application to risk-averse optimization
+Normal rank
@@ Property / cites work @@
+Optimization with Multivariate Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Improving the Power of Tests of Stochastic Dominance
+Normal rank
@@ Property / cites work @@
+An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
+Normal rank
@@ Property / cites work @@
+A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
+Normal rank
@@ Property / cites work @@
+Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
+Normal rank
@@ Property / cites work @@
+Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint
+Normal rank
@@ Property / cites work @@
+Quantitative stability of full random two-stage stochastic programs with recourse
+Normal rank
@@ Property / cites work @@
+Sample average approximation of stochastic dominance constrained programs
+Normal rank
@@ Property / cites work @@
+Stochastic Dominance
@@ Property / cites work: Stochastic Dominance / rank @@
+Normal rank
@@ Property / cites work @@
+Stability analysis of stochastic programs with second order dominance constraints
+Normal rank
@@ Property / cites work @@
+Robust utility maximization under convex portfolio constraints
+Normal rank
@@ Property / cites work @@
+Robust control problems associated with the multilayer quasi-geostrophic equations of the ocean
+Normal rank
@@ Property / cites work @@
+Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
+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 @@
+Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
+Normal rank
@@ Property / cites work @@
+Approximations for Probability Distributions and Stochastic Optimization Problems
+Normal rank
@@ Property / cites work @@
+Quantitative stability analysis for minimax distributionally robust risk optimization
+Normal rank
@@ Property / cites work @@
+Q3999495
@@ Property / cites work: Q3999495 / rank @@
+Normal rank
@@ Property / cites work @@
+Variational Analysis
@@ Property / cites work: Variational Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4830009
@@ Property / cites work: Q4830009 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-averse dynamic programming for Markov decision processes
+Normal rank
@@ Property / cites work @@
+Q2925334
@@ Property / cites work: Q2925334 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
+Normal rank
@@ Property / cites work @@
+Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems
+Normal rank
@@ Property / cites work @@
+Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Stochastic Programs with Recourse
@@ Property / cites work: Stochastic Programs with Recourse / rank @@
+Normal rank
@@ Property / cites work @@
+Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
+Normal rank
@@ Property / cites work @@
+Robust consumption-investment problem on infinite horizon
+Normal rank
@@ Property / cites work @@
+Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints
+Normal rank