Sample average approximation of stochastic dominance constrained programs
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- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
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- Optimization with multivariate stochastic dominance constraints
- Portfolio construction based on stochastic dominance and target return distributions
- Sample average approximation of expected value constrained stochastic programs
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- The sample average approximation method for stochastic discrete optimization
- Theory of games and economic behavior.
Cited in
(49)- Multivariate stochastic dominance for risk averters and risk seekers
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Optimization with a class of multivariate integral stochastic order constraints
- Primal-dual algorithms for optimization with stochastic dominance
- Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
- Two-stage optimization problems with multivariate stochastic order constraints
- Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints
- Empirical estimates in stochastic programs with probability and second order stochastic dominance constraints
- Stochastically weighted stochastic dominance concepts with an application in capital budgeting
- The CoMirror algorithm with random constraint sampling for convex semi-infinite programming
- Optimization with reference-based robust preference constraints
- Robust multicriteria risk-averse stochastic programming models
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
- 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
- Robust decision making using a general utility set
- An inexact primal-dual algorithm for semi-infinite programming
- Stochastic multiobjective optimization: Sample average approximation and applications
- Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Aspects of optimization with stochastic dominance
- 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
- Optimization with multivariate stochastic dominance constraints
- Stability analysis of stochastic programs with second order dominance constraints
- Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints
- The sample average approximation method for stochastic discrete optimization
- A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures
- Cut generation for optimization problems with multivariate risk constraints
- Semicontinuity and convergence for vector optimization problems with approximate equilibrium constraints
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Ambiguity in risk preferences in robust stochastic optimization
- Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
- Overlapping batches for the assessment of solution quality in stochastic programs
- Simulation optimization: a review and exploration in the new era of cloud computing and big data
- An approximation scheme for stochastic programs with second order dominance constraints
- A smoothing penalized sample average approximation method for stochastic programs with second-order stochastic dominance constraints
- Optimal path problems with second-order stochastic dominance constraints
- Optimization with stochastic preferences based on a general class of scalarization functions
- Stochastic optimization problems with nonlinear dependence on a probability measure via the Wasserstein metric
- First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Sample average approximation of expected value constrained stochastic programs
- An incremental bundle method for portfolio selection problem under second-order stochastic dominance
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- A smoothing projected HS method for solving stochastic tensor complementarity problem
- Frameworks and results in distributionally robust optimization
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