Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
DOI10.1137/110850815zbMATH Open1267.90009OpenAlexW2161541280MaRDI QIDQ5300540FDOQ5300540
Huifu Xu, Yong Wang, Hailin Sun, Rudabeh Meskarian
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
Applications of mathematical programming (90C90) Nonlinear programming (90C30) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)
Cited In (15)
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- A sparse enhanced indexation model with chance and cardinality constraints
- A regularized simplex method
- Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball
- Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Exact penalization in stochastic programming -- calmness and constraint qualification
- Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
- The deepest event cuts in risk-averse optimization with application to radiation therapy design
- Stochastic optimization problems with nonlinear dependence on a probability measure via the Wasserstein metric
- Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- An incremental bundle method for portfolio selection problem under second-order stochastic dominance
- An approximation scheme for stochastic programs with second order dominance constraints
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