Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 3924511
- Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
- Penalty methods with stochastic approximation for stochastic nonlinear programming
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Exact penalty functions in single-stage stochastic programming1
- Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
- Duality relations and optimality conditions in linear stochastic programming
- Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
- Duality and optimality in multistage stochastic programming
- The Entropic Penalty Approach to Stochastic Programming
Cited in
(76)- Risk optimization with p-order conic constraints: a linear programming approach
- Symmetric QP and linear programming under primal-dual uncertainty
- Portfolio theory for the recourse certainty equivalent maximizing investor
- Certainty equivalents and information measures: Duality and extremal principles
- A recourse certainty equivalent for decisions under uncertainty
- Measuring production with random inputs and outputs using DEA and certainty equivalent
- Duality and equilibrium prices in economics of uncertainty
- Set-valued loss-based risk measures
- Risk tomography
- Optimal expected utility risk measures
- Robust return risk measures
- Optimal initial capital induced by the optimized certainty equivalent
- On the pervasiveness of difference-convexity in optimization and statistics
- Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
- Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
- Stochastic approximation algorithms for superquantiles estimation
- Risk measures in the form of infimal convolution
- Superquantiles at work: machine learning applications and efficient subgradient computation
- Distributionally robust maximum probability shortest path problem
- Frameworks and results in distributionally robust optimization
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- Non asymptotic controls on a recursive superquantile approximation
- Law invariant risk measures and information divergences
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- Decision-making from a risk assessment perspective for corporate mergers and acquisitions
- Convex risk minimization via proximal splitting methods
- Properties and calculation of multivariate risk measures: MVaR and MCVaR
- Large deviations bounds for estimating conditional value-at-risk
- Robust optimal risk sharing and risk premia in expanding pools
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Dynamic assessment indices
- Taking risk into account in electricity portfolio management
- Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
- Tractable robust expected utility and risk models for portfolio optimization
- Existence and optimality conditions for risk-averse PDE-constrained optimization
- A non-exponential extension of Sanov's theorem via convex duality
- RISK MEASURES ON ORLICZ HEARTS
- Risk trading and endogenous probabilities in investment equilibria
- The Entropic Penalty Approach to Stochastic Programming
- scientific article; zbMATH DE number 3924511 (Why is no real title available?)
- Exact penalty functions in single-stage stochastic programming1
- Parametric multi-attribute utility functions for optimal profit under risk constraints
- Probabilistic sophistication, second order stochastic dominance and uncertainty aversion
- Stochastic model-based minimization of weakly convex functions
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Preference Robust Modified Optimized Certainty Equivalent
- Weighted Scoring Rules and Convex Risk Measures
- Epi-regularization of risk measures
- An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures
- Liquidity, risk measures, and concentration of measure
- Optimal stopping under uncertainty in drift and jump intensity
- Estimation of individualized decision rules based on an optimized covariate-dependent equivalent of random outcomes
- Set-valued shortfall and divergence risk measures
- Higher moment coherent risk measures
- Risk-averse control of fractional diffusion with uncertain exponent
- Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
- On Robustness of Individualized Decision Rules
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Risk‐averse optimization and resilient network flows
- Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball
- Generalized optimized certainty equivalent with applications in the rank-dependent utility model
- A survey of learning criteria going beyond the usual risk
- Short communication: utility-based acceptability indices
- On entropy martingale optimal transport theory
- High probability bounds on AdaGrad for constrained weakly convex optimization
- Generalized optimal initial capital and risk measures induced by the generalized certainty equivalent
- Optimal reinsurance design under convex premium principles and distortion risk measures
- Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
- Distributional Off-Policy Evaluation in Reinforcement Learning
- Distributionally robust optimization
- CV@R-penalised portfolio optimisation with biased stochastic mirror descent
- Conditional divergence risk measures
- Sensitivity analysis of Wasserstein distributionally robust optimization problems
- Scalarized utility-based multi-asset risk measures
- Risk-adaptive approaches to stochastic optimization: a survey
- Introduction to convex optimization in financial markets
This page was built for publication: Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3028727)