Optimization with Multivariate Stochastic Dominance Constraints

DOI10.1137/140955148zbMath1358.90137OpenAlexW1963953258MaRDI QIDQ2954390

Dentcheva, Darinka, Eli Wolfhagen

Publication date: 13 January 2017

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

Full work available at URL: https://doi.org/10.1137/140955148

zbMATH Keywords

dualitystochastic orderriskbundle methodsDC optimizationmultivariate dominance relation

Mathematics Subject Classification ID

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

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Uses Software

• PLCP

Cites Work

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