Sample average approximation of stochastic dominance constrained programs

DOI10.1007/s10107-010-0428-9zbMath1259.90083OpenAlexW2121468937WikidataQ105583408 ScholiaQ105583408MaRDI QIDQ431031

Jian Hu, Sanjay Mehrotra, Tito Homem-de-mello

Publication date: 26 June 2012

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-010-0428-9

zbMATH Keywords

stochastic programmingmultivariate stochastic dominancesample average approximationcutting plane algorithms

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Monte Carlo methods (65C05) Stochastic programming (90C15) Semi-infinite programming (90C34) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Uses Software

• DDSIP

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