Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints
DOI10.1137/070679569zbMATH Open1180.90211OpenAlexW1969550106MaRDI QIDQ3399255FDOQ3399255
Authors: Darinka Dentcheva, Andrzej Ruszczyński 
Publication date: 29 September 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070679569
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Inequalities; stochastic orderings (60E15) Stochastic programming (90C15) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Semi-infinite programming (90C34) Programming in abstract spaces (90C48) Optimal stochastic control (93E20)
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- Primal-dual algorithms for optimization with stochastic dominance
- Two-stage optimization problems with multivariate stochastic order constraints
- New Formulations for Optimization under Stochastic Dominance Constraints
- Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
- Robust decision making using a general utility set
- Stochastic dominance for sequences and implied utility in dynamic optimization
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Ambiguity in risk preferences in robust stochastic optimization
- Stochastic dominance-constrained Markov decision processes
- Stochastic dominance constraints in elastic shape optimization
- Stochastically weighted stochastic dominance concepts with an application in capital budgeting
- Optimal and Near-Optimal Strategies in Discrete Stochastic Multiobjective Quasi-hierarchical Dynamic Problems
- Aspects of optimization with stochastic dominance
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