Optimization with a class of multivariate integral stochastic order constraints
From MaRDI portal
Publication:363558
DOI10.1007/s10479-013-1337-0zbMath1301.90092MaRDI QIDQ363558
William B. Haskell, J. George Shanthikumar, Z. Max Shen
Publication date: 3 September 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-013-1337-0
Related Items
Cut generation for optimization problems with multivariate risk constraints, Ambiguity in risk preferences in robust stochastic optimization, An inexact primal-dual algorithm for semi-infinite programming, The CoMirror algorithm with random constraint sampling for convex semi-infinite programming, Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem, Aspects of optimization with stochastic dominance, Primal-Dual Algorithms for Optimization with Stochastic Dominance
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal path problems with second-order stochastic dominance constraints
- Sample average approximation of stochastic dominance constrained programs
- A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
- Processing second-order stochastic dominance models using cutting-plane representations
- Robust stochastic dominance and its application to risk-averse optimization
- Relaxations of linear programming problems with first order stochastic dominance constraints
- Optimization with multivariate stochastic dominance constraints
- An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
- Convex analysis approach to d. c. programming: Theory, algorithms and applications
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Uncertain convex programs: randomized solutions and confidence levels
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Portfolio construction based on stochastic dominance and target return distributions
- A New Exchange Method for Convex Semi-Infinite Programming
- A Randomized Cutting Plane Method with Probabilistic Geometric Convergence
- Semi-Infinite Programming: Theory, Methods, and Applications
- A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
- Optimization with Stochastic Dominance Constraints
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
