Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
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Publication:3577834
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Cites work
- A General Definition of the Lorenz Curve
- A note on stochastic dominance and inequality measures
- Computational aspects of minimizing conditional value-at-risk
- Dual Stochastic Dominance and Related Mean-Risk Models
- Integrated chance constraints: reduced forms and an algorithm
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Optimization with Stochastic Dominance Constraints
- The Dual Theory of Choice under Risk
Cited in
(21)- Analytic center cutting plane methods for variational inequalities over convex bodies
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- Processing second-order stochastic dominance models using cutting-plane representations
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- 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
- Cut generation for optimization problems with multivariate risk constraints
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- The deepest event cuts in risk-averse optimization with application to radiation therapy design
- Novel approaches for portfolio construction using second order stochastic dominance
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Stochastic dominance constraints in elastic shape optimization
- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints
- Optimization with multivariate stochastic dominance constraints
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
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