Stability analysis of optimization problems with kth order stochastic and distributionally robust dominance constraints induced by full random recourse
From MaRDI portal
(Redirected from Publication:4641665)
Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
Recommendations
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- Stability and sensitivity of stochastic dominance constrained optimization models
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- Stability analysis of stochastic programs with second order dominance constraints
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
Cites work
- A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
- An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
- Approximations for Probability Distributions and Stochastic Optimization Problems
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Convergence analysis for mathematical programs with distributionally robust chance constraint
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
- Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints
- scientific article; zbMATH DE number 49698 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- Improving the power of tests of stochastic dominance
- Lectures on stochastic programming. Modeling and theory.
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
- Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
- Optimization with multivariate stochastic dominance constraints
- Optimization with multivariate stochastic dominance constraints
- Optimization with Stochastic Dominance Constraints
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Quantitative stability analysis for minimax distributionally robust risk optimization
- Quantitative stability of full random two-stage stochastic programs with recourse
- Risk aversion for an electricity retailer with second-order stochastic dominance constraints
- Risk-averse dynamic programming for Markov decision processes
- Risk-averse two-stage stochastic linear programming: modeling and decomposition
- Robust consumption-investment problem on infinite horizon
- Robust control problems associated with the multilayer quasi-geostrophic equations of the ocean
- Robust optimization
- Robust stochastic dominance and its application to risk-averse optimization
- Robust utility maximization under convex portfolio constraints
- Sample average approximation of stochastic dominance constrained programs
- Stability analysis of stochastic programs with second order dominance constraints
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- Stability and sensitivity of stochastic dominance constrained optimization models
- Stochastic Dominance
- Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
- Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
- Stochastic Programs with Recourse
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
- Variational Analysis
Cited in
(12)- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Stability and sensitivity of stochastic dominance constrained optimization models
- Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- Quantitative stability analysis of two-stage stochastic linear programs with full random recourse
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
- Distributionally robust variational inequalities: relaxation, quantification and discretization
This page was built for publication: Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4641665)
