Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
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Cites work
- A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
- Augmented Lagrange Multiplier Functions and Duality in Nonconvex Programming
- Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
- Comparison methods for stochastic models and risks
- Dual Stochastic Dominance and Related Mean-Risk Models
- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
- scientific article; zbMATH DE number 2138160 (Why is no real title available?)
- Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
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- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Optimization with multivariate stochastic dominance constraints
- Optimization with multivariate stochastic dominance constraints
- Optimization with Stochastic Dominance Constraints
- Ordered Families of Distributions
- Robust stochastic dominance and its application to risk-averse optimization
- Sample average approximation of stochastic dominance constrained programs
- Stochastic ordering and dependence in applied probability
- Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
- The boundedness of penalty parameters in an augmented Lagrangian method with constrained subproblems
- The Existence of Probability Measures with Given Marginals
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
Cited in
(13)- On augmented Lagrangian decomposition methods for multistage stochastic programs
- An augmented Lagrangian method exploiting an active-set strategy and second-order information
- On the price of risk in a mean-risk optimization model
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- scientific article; zbMATH DE number 6160116 (Why is no real title available?)
- Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- 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
- Using a Duffing control approach to control the single risk factor in complex social-technical systems
- Short communication: mean-stochastic-dominance portfolio selection in continuous time
- Higher-order stochastic dominance constraints in optimization
- Simultaneous estimation of multiple discrete unimodal distributions under stochastic order constraints
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