Stability and sensitivity of stochastic dominance constrained optimization models

DOI10.1137/120886790MaRDI QIDQ2866202zbMATH OpenOpenAlexFDO

Authors Darinka Dentcheva, Werner Römisch

Publication date 13 December 2013

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

Full work available at URL https://semanticscholar.org/paper/9d0e55bcf2cba7fd49c7b36df8f66c90618cbccb

zbMATH Keywords

convex optimization modelstability propertystochastic dominance constraint

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Stochastic models in economics (91B70)

Review text

A class of finite dimensional convex optimization models with stochastic dominance constraints is analyzed together with the corresponding quantitative stability properties.

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Cited in

(19)

• Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
• On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
• Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
• Stochastic optimisation: sensitivity and delta theorem
• Criteri di sensitività in problemi di dominanza stocastica
• New Formulations for Optimization under Stochastic Dominance Constraints
• Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints
• Optimization with a class of multivariate integral stochastic order constraints
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• Stochastic dominance constraints in elastic shape optimization
• Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
• Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
• An approximation scheme for stochastic programs with second order dominance constraints
• Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
• Quantitative stability analysis of two-stage stochastic linear programs with full random recourse
• Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
• Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
• Measures of stochastic non-dominance in portfolio optimization
• Higher-order stochastic dominance constraints in optimization

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