Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints

DOI10.1080/10556788.2016.1175003MaRDI QIDQ4594832zbMATH OpenOpenAlexFDO

Authors Shao-Yan Guo, Huifu Xu, Liwei Zhang

Publication date 24 November 2017

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/390737/1/GXZ_15_Mar_2016_final.pdf

zbMATH Keywords

stability analysisKantorovich metricsecond-order dominanceprobability discretization

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• An approximation scheme for stochastic programs with second order dominance constraints
• Stability analysis of stochastic programs with second order dominance constraints
• Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
• Empirical estimates in stochastic programs with probability and second order stochastic dominance constraints
• Sample average approximation of stochastic dominance constrained programs

Cited in

(11)

• On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
• Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
• Portfolio selection based on extended Gini shortfall risk measures
• Stability analysis of stochastic programs with second order dominance constraints
• Distributionally robust joint chance constraints with second-order moment information
• Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
• Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
• Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties
• An approximation scheme for stochastic programs with second order dominance constraints
• Distributionally robust optimization. A review on theory and applications
• Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric

This page was built for publication: Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4594832)