Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints

DOI10.1287/moor.2015.0713zbMath1334.90089OpenAlexW2284160749MaRDI QIDQ2800361

Eli Wolfhagen, Dentcheva, Darinka

Publication date: 15 April 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2015.0713

zbMATH Keywords

multiobjective optimizationstochastic dominanceincreasing convex ordertrust-region methodbundle methodinverse cover inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

Related Items (5)

Cut generation for optimization problems with multivariate risk constraints ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse ⋮ Multistage portfolio optimization with multivariate dominance constraints ⋮ Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design

Uses Software

• PLCP
• DDSIP

Cites Work

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