Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints

DOI10.1137/070679569MaRDI QIDQ3399255zbMATHOpenAlexFDO

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

zbMATH Keywords

utilityriskmaximum principlestochastic controlstochastic programmingstochastic orders

Mathematics Subject Classification ID

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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Cited in

(13)

• Primal-dual algorithms for optimization with stochastic dominance
• Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
• Two-stage optimization problems with multivariate stochastic order constraints
• Stochastically weighted stochastic dominance concepts with an application in capital budgeting
• Optimal and Near-Optimal Strategies in Discrete Stochastic Multiobjective Quasi-hierarchical Dynamic Problems
• Robust decision making using a general utility set
• New Formulations for Optimization under Stochastic Dominance Constraints
• Aspects of optimization with stochastic dominance
• Stochastic dominance for sequences and implied utility in dynamic optimization
• Stochastic dominance-constrained Markov decision processes
• Stochastic dominance constraints in elastic shape optimization
• Ambiguity in risk preferences in robust stochastic optimization
• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints

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