Semi-infinite probabilistic optimization: first-order stochastic dominance constrain

DOI10.1080/02331930412331327148zbMath1153.90513OpenAlexW2023552566WikidataQ61773086 ScholiaQ61773086MaRDI QIDQ4669791

Dentcheva, Darinka, Ruszczyński, Andrzej

Publication date: 15 April 2005

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930412331327148

zbMATH Keywords

RiskDualityStochastic programmingStochastic orderingSemi-infinite optimizationConvexificationGeneralized concavityChance constraints

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic programming (90C15) Semi-infinite programming (90C34)

Related Items (19)

Scenario Min-Max Optimization and the Risk of Empirical Costs ⋮ Robust stochastic dominance and its application to risk-averse optimization ⋮ Relaxations of linear programming problems with first order stochastic dominance constraints ⋮ The deepest event cuts in risk-averse optimization with application to radiation therapy design ⋮ An incremental bundle method for portfolio selection problem under second-order stochastic dominance ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ Stability analysis of stochastic programs with second order dominance constraints ⋮ Tractable almost stochastic dominance ⋮ A note on uniform exponential convergence of sample average approximation of random functions ⋮ Stochastic dominance under the nonlinear expected utilities ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ A systematic approach for examining the impact of calibration uncertainty in disease modeling ⋮ Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ Higher moment coherent risk measures ⋮ Inverse stochastic dominance constraints and rank dependent expected utility theory ⋮ Robustness of optimal portfolios under risk and stochastic dominance constraints

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