Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball (Q5080499)

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Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball

scientific article; zbMATH DE number 7534670

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English	Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball	scientific article; zbMATH DE number 7534670

Statements

instance of

scholarly article

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title

Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball (English)

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SIAM Journal on Optimization

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publication date

31 May 2022

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full work available at URL

https://arxiv.org/abs/2101.00838

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zbMATH Keywords

stochastic dominance

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distributionally robust optimization

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Wasserstein distance

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sequential convex approximation

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describes a project that uses

DDSIP

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MaRDI profile type

MaRDI publication profile

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cites work

Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems

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Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse

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Multivariate robust second-order stochastic dominance and resulting risk-averse optimization

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Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints

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Stability and sensitivity of stochastic dominance constrained optimization models

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Optimization with Stochastic Dominance Constraints

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Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization

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Robust stochastic dominance and its application to risk-averse optimization

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Lectures on Stochastic Programming

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Robustness of optimal portfolios under risk and stochastic dominance constraints

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On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs

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Processing second-order stochastic dominance models using cutting-plane representations

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A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse

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Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse

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Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints

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Ambiguity in risk preferences in robust stochastic optimization

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Primal-dual algorithms for optimization with stochastic dominance

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A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints

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Optimization with reference-based robust preference constraints

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Data-driven distributionally robust chance-constrained optimization with Wasserstein metric

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Data-driven chance constrained stochastic program

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Q3250845

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Portfolio diversification based on stochastic dominance under incomplete probability information

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Distributionally Robust Chance Constrained Geometric Optimization

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Rectangular chance constrained geometric optimization

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An approximation scheme for stochastic programs with second order dominance constraints

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New Formulations for Optimization under Stochastic Dominance Constraints

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The Fritz John necessary optimality conditions in the presence of equality and inequality constraints

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Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties

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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

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Optimization with stochastic preferences based on a general class of scalarization functions

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Relaxations of linear programming problems with first order stochastic dominance constraints

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An Application of Error Bounds for Convex Programming in a Linear Space

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Variational Analysis

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

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Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints

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On distributionally robust chance constrained programs with Wasserstein distance

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Optimality conditions for bilevel programming problems

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On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse

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Data-driven risk-averse stochastic optimization with Wasserstein metric

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Distributionally robust joint chance constraints with second-order moment information

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Identifiers

zbMATH Open document ID

1493.90119

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DOI

10.1137/21M1394412

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball