Cut generation for optimization problems with multivariate risk constraints
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Publication:312669
DOI10.1007/S10107-015-0953-7zbMATH Open1346.90642OpenAlexW158781985MaRDI QIDQ312669FDOQ312669
Authors: Simge Küçükyavuz, Nilay Noyan 
Publication date: 16 September 2016
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-015-0953-7
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stochastic dominanceconvex hullstochastic programmingconditional value-at-riskcut generationmultivariate risk-aversionreverse concave set
Cites Work
- Optimization with Stochastic Dominance Constraints
- Multicriteria Optimization
- Processing second-order stochastic dominance models using cutting-plane representations
- A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
- Sample average approximation of stochastic dominance constrained programs
- Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations
- New Formulations for Optimization under Stochastic Dominance Constraints
- Kusuoka representation of higher order dual risk measures
- Two-stage optimization problems with multivariate stochastic order constraints
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
- Optimization with a class of multivariate integral stochastic order constraints
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Relaxations of linear programming problems with first order stochastic dominance constraints
- Optimization with multivariate stochastic dominance constraints
Cited In (15)
- Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- The CoMirror algorithm with random constraint sampling for convex semi-infinite programming
- Optimized cutting plane algorithm for large-scale risk minimization
- Vector-valued multivariate conditional value-at-risk
- A polyhedral study on chance constrained program with random right-hand side
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- The deepest event cuts in risk-averse optimization with application to radiation therapy design
- Conditional value‐at‐risk beyond finance: a survey
- Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
- Robust multicriteria risk-averse stochastic programming models
- Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
- Optimization with stochastic preferences based on a general class of scalarization functions
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