Robust stochastic dominance and its application to risk-averse optimization

DOI10.1007/s10107-009-0321-6zbMath1216.90064WikidataQ93623505 ScholiaQ93623505MaRDI QIDQ849327

Dentcheva, Darinka, Ruszczyński, Andrzej

Publication date: 25 February 2010

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-009-0321-6

zbMATH Keywords

stochastic order; semi-infinite optimization; stochastic dominance constraints; risk constraints; robust preferences

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

90C46: Optimality conditions and duality in mathematical programming

90C15: Stochastic programming

90C48: Programming in abstract spaces

46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics

Uses Software

• DDSIP

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