Optimization with stochastic preferences based on a general class of scalarization functions

DOI10.1287/OPRE.2017.1671zbMATH Open1473.90099OpenAlexW2744291685MaRDI QIDQ4969337FDOQ4969337

Publication date: 5 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5b7d8b112bb8cde07ade6b4028ccb8c94f3fc5b8

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Mathematics Subject Classification ID

Individual preferences (91B08) Stochastic programming (90C15) Utility theory for games (91A30)

Cites Work

Coherent measures of risk
Generalized quantiles as risk measures
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Cited In (11)

Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
The CoMirror algorithm with random constraint sampling for convex semi-infinite programming
Vector-valued multivariate conditional value-at-risk
Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball
Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
Conditional value‐at‐risk beyond finance: a survey
Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties
Preference Robust Optimization for Choice Functions on the Space of CDFs
Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
Interval-based stochastic dominance: theoretical framework and application to portfolio choices
An inexact primal-dual algorithm for semi-infinite programming

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