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

DOI10.1080/10556788.2016.1175003zbMATH Open1381.90062OpenAlexW2339153486MaRDI QIDQ4594832FDOQ4594832

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

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zbMATH Keywords

stability analysisKantorovich metricsecond-order dominanceprobability discretization

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cited In (11)

• On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
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• Portfolio selection based on extended Gini shortfall risk measures
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• 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
• Distributionally robust optimization. A review on theory and applications
• An approximation scheme for stochastic programs with second order dominance constraints
• Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric

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