Optimization with a class of multivariate integral stochastic order constraints

DOI10.1007/s10479-013-1337-0zbMath1301.90092OpenAlexW2049869945MaRDI QIDQ363558

William B. Haskell, J. George Shanthikumar, Z. Max Shen

Publication date: 3 September 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1337-0

zbMATH Keywords

utility functionconvex optimization problemsmultivariate integral stochastic order constraints

Mathematics Subject Classification ID

Stochastic programming (90C15) Semi-infinite programming (90C34)

Related Items (7)

The CoMirror algorithm with random constraint sampling for convex semi-infinite programming ⋮ Cut generation for optimization problems with multivariate risk constraints ⋮ Ambiguity in risk preferences in robust stochastic optimization ⋮ Aspects of optimization with stochastic dominance ⋮ Primal-Dual Algorithms for Optimization with Stochastic Dominance ⋮ Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem ⋮ An inexact primal-dual algorithm for semi-infinite programming

Uses Software

• DDSIP

Cites Work

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