Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
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Publication:3395018
DOI10.1137/070702473zbMATH Open1198.90308OpenAlexW2002789039MaRDI QIDQ3395018FDOQ3395018
Authors: Gábor Rudolf, Andrzej Ruszczyński 
Publication date: 20 August 2009
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070702473
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Cited In (42)
- Two-stage optimization problems with multivariate stochastic order constraints
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Optimal path problems with second-order stochastic dominance constraints
- Processing second-order stochastic dominance models using cutting-plane representations
- Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
- Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
- A smoothing penalized sample average approximation method for stochastic programs with second-order stochastic dominance constraints
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Tractable almost stochastic dominance
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
- Implementing the simplex method as a cutting-plane method, with a view to regularization
- A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Title not available (Why is that?)
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- Cut generation for optimization problems with multivariate risk constraints
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
- Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- The deepest event cuts in risk-averse optimization with application to radiation therapy design
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
- Stochastic dominance constraints in elastic shape optimization
- Risk management with stochastic dominance models in energy systems with dispersed generation
- Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
- Measuring of second-order stochastic dominance portfolio efficiency
- Short communication: mean-stochastic-dominance portfolio selection in continuous time
- Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints
- An incremental bundle method for portfolio selection problem under second-order stochastic dominance
- Optimization with multivariate stochastic dominance constraints
- An approximation scheme for stochastic programs with second order dominance constraints
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
- An enhanced model for portfolio choice with SSD criteria: a constructive approach
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
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