Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints

DOI10.1137/070679569zbMath1180.90211OpenAlexW1969550106MaRDI QIDQ3399255

Ruszczyński, Andrzej, Dentcheva, Darinka

Publication date: 29 September 2009

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

Full work available at URL: https://doi.org/10.1137/070679569

zbMATH Keywords

utilitymaximum principlestochastic programmingstochastic controlstochastic ordersrisk

Mathematics Subject Classification ID

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

Related Items (9)

Ambiguity in risk preferences in robust stochastic optimization ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Aspects of optimization with stochastic dominance ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Primal-Dual Algorithms for Optimization with Stochastic Dominance ⋮ Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem ⋮ Robust decision making using a general utility set ⋮ Stochastically weighted stochastic dominance concepts with an application in capital budgeting ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints

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