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

DOI10.1137/070702473zbMath1198.90308OpenAlexW2002789039MaRDI QIDQ3395018

Ruszczyński, Andrzej, Gábor Rudolf

Publication date: 20 August 2009

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

Full work available at URL: https://doi.org/10.1137/070702473

zbMATH Keywords

linear programmingstochastic programmingprogramming in abstract spaces

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Programming in abstract spaces (90C48)

Related Items (31)

Cut generation for optimization problems with multivariate risk constraints ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints ⋮ Unnamed Item ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Implementing the simplex method as a cutting-plane method, with a view to regularization ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Optimization with Multivariate Stochastic Dominance Constraints ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ The deepest event cuts in risk-averse optimization with application to radiation therapy design ⋮ An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree ⋮ An incremental bundle method for portfolio selection problem under second-order stochastic dominance ⋮ Tractable almost stochastic dominance ⋮ Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse ⋮ Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints ⋮ Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation ⋮ Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk ⋮ An enhanced model for portfolio choice with SSD criteria: a constructive approach ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints ⋮ Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization ⋮ Multivariate robust second-order stochastic dominance and resulting risk-averse optimization ⋮ A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

Uses Software

• CPLEX

This page was built for publication: Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods