An approximation scheme for stochastic programs with second order dominance constraints

DOI10.3934/naco.2016021zbMath1353.90100OpenAlexW2567181382MaRDI QIDQ501509

Huifu Xu, Hailin Sun, Yong-Chao Liu

Publication date: 9 January 2017

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2016021

zbMATH Keywords

sample average approximationsecond order dominanceentropic approximationstochastic semi-infinite programming

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15)

Related Items (3)

Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties

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