Composite semi-infinite optimization

MaRDI QIDQ5325786zbMATH OpenFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 24 July 2009

Full work available at URL https://eudml.org/doc/209508

zbMATH Keywords

stochastic dominancenonsmooth optimizationstochastic programmingsemi-infinite optimizationcomposite optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonsmooth analysis (49J52) Optimality conditions for problems in abstract spaces (49K27) Optimality conditions for problems involving randomness (49K45)

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Cited in

(7)

• scientific article; zbMATH DE number 4049381 (Why is no real title available?)
• Stability analysis of stochastic programs with second order dominance constraints
• Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
• Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
• Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
• Robust stochastic dominance and its application to risk-averse optimization
• Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions

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