Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
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Publication:2436650
DOI10.1007/s10107-013-0711-7zbMath1295.90033OpenAlexW2059813843MaRDI QIDQ2436650
Publication date: 25 February 2014
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-013-0711-7
Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Semi-infinite programming (90C34)
Related Items (7)
Optimization with Reference-Based Robust Preference Constraints ⋮ A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk ⋮ Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions ⋮ Robust two-stage stochastic linear optimization with risk aversion ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse
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