Stability and Sensitivity of Stochastic Dominance Constrained Optimization Models

DOI10.1137/120886790zbMath1291.90252OpenAlexW1968787489MaRDI QIDQ2866202

Werner Römisch, Dentcheva, Darinka

Publication date: 13 December 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9d0e55bcf2cba7fd49c7b36df8f66c90618cbccb

zbMATH Keywords

stability propertyconvex optimization modelstochastic dominance constraint

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Stochastic models in economics (91B70)

Related Items (8)

Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ An approximation scheme for stochastic programs with second order dominance constraints ⋮ Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse

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