Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints

DOI10.1137/110850815MaRDI QIDQ5300540zbMATHOpenAlexFDO

Authors Hailin Sun, Huifu Xu, Rudabeh Meskarian, Yong Wang

Publication date 27 June 2013

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/2414/1/SSD-SIOPT-Final.pdf

zbMATH Keywords

exact penalizationSlater constraint qualificationlevel function methodmodified cutting-plane method

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Recommendations

• Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
• Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
• A smoothing penalized sample average approximation method for stochastic programs with second-order stochastic dominance constraints
• Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
• A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints

Cited in

(15)

• Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
• Exact penalization in stochastic programming -- calmness and constraint qualification
• Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
• A regularized simplex method
• Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
• Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
• Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
• A sparse enhanced indexation model with chance and cardinality constraints
• Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
• An approximation scheme for stochastic programs with second order dominance constraints
• Interval-based stochastic dominance: theoretical framework and application to portfolio choices
• Stochastic optimization problems with nonlinear dependence on a probability measure via the Wasserstein metric
• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
• An incremental bundle method for portfolio selection problem under second-order stochastic dominance
• The deepest event cuts in risk-averse optimization with application to radiation therapy design

This page was built for publication: Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5300540)