Stochastic dominance for sequences and implied utility in dynamic optimization

MaRDI QIDQ3541983zbMATH OpenFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 27 November 2008

zbMATH Keywords

riskstochastic controlstochastic ordersstochastic programmingutility

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Inequalities; stochastic orderings (60E15) Stochastic programming (90C15) Semi-infinite programming (90C34) Programming in abstract spaces (90C48) Optimal stochastic control (93E20)

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Cited in

(3)

• Dynamic stochastic dominance in bandit decision problems
• Stochastic dominance-constrained Markov decision processes
• Robust stochastic dominance and its application to risk-averse optimization

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