Optimization with Stochastic Dominance Constraints
From MaRDI portal
Publication:4441972
DOI10.1137/S1052623402420528zbMath1055.90055OpenAlexW1966823320WikidataQ61773084 ScholiaQ61773084MaRDI QIDQ4441972
Ruszczyński, Andrzej, Dentcheva, Darinka
Publication date: 19 January 2004
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s1052623402420528
Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Programming in abstract spaces (90C48) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)
Related Items
STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS ⋮ Scenario Min-Max Optimization and the Risk of Empirical Costs ⋮ Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm ⋮ Unnamed Item ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Preference Robust Optimization for Choice Functions on the Space of CDFs ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Two-Stage Stochastic Optimization Meets Two-Scale Simulation ⋮ Optimization with Reference-Based Robust Preference Constraints ⋮ A branch-and-bound method for multistage stochastic integer programs with risk objectives ⋮ Optimal measure preserving derivatives revisited ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ Primal-Dual Algorithms for Optimization with Stochastic Dominance ⋮ Optimization with Multivariate Stochastic Dominance Constraints ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ The deepest event cuts in risk-averse optimization with application to radiation therapy design ⋮ Epi-Regularization of Risk Measures ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management ⋮ Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation ⋮ Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study ⋮ Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets ⋮ Risk Aversion in Two-Stage Stochastic Integer Programming ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures ⋮ Buffered Probability of Exceedance: Mathematical Properties and Optimization ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ An enhanced model for portfolio choice with SSD criteria: a constructive approach ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints ⋮ Higher moment coherent risk measures ⋮ Semi-infinite probabilistic optimization: first-order stochastic dominance constrain ⋮ Distributionally robust chance constraints for non-linear uncertainties ⋮ Stochastic multi-objective optimization: a survey on non-scalarizing methods ⋮ Optimization with Stochastic Preferences Based on a General Class of Scalarization Functions ⋮ Multivariate robust second-order stochastic dominance and resulting risk-averse optimization ⋮ Risk Arbitrage Opportunities for Stock Index Options ⋮ A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse ⋮ A Convex Analytic Approach to Risk-Aware Markov Decision Processes ⋮ Sampling average approximation method for a class of stochastic Nash equilibrium problems ⋮ Optimal path problems with second-order stochastic dominance constraints ⋮ Finding efficient and environmentally friendly paths for risk-averse freight carriers ⋮ A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning ⋮ The CoMirror algorithm with random constraint sampling for convex semi-infinite programming ⋮ A new rank dependent utility approach to model risk averse preferences in portfolio optimization ⋮ Medium range optimization of copper extraction planning under uncertainty in future copper prices ⋮ Cut generation for optimization problems with multivariate risk constraints ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ CVaR (superquantile) norm: stochastic case ⋮ Robust stochastic dominance and its application to risk-averse optimization ⋮ Regularization of stochastic variational inequalities and a comparison of an \(L_p\) and a sample-path approach ⋮ Ambiguity in risk preferences in robust stochastic optimization ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Fraction-degree reference dependent stochastic dominance ⋮ An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management ⋮ On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management ⋮ Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization ⋮ Equivalence of the problems with quantile and integral quantile criteria ⋮ On stochastic variational inequalities with mean value constraints ⋮ Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints ⋮ Frameworks and results in distributionally robust optimization ⋮ Relaxations of linear programming problems with first order stochastic dominance constraints ⋮ Aspects of optimization with stochastic dominance ⋮ A quantitative comparison of risk measures ⋮ Optimization with a class of multivariate integral stochastic order constraints ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Portfolio optimization based on stochastic dominance and empirical likelihood ⋮ Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics ⋮ Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications ⋮ Risk tomography ⋮ Second-order stochastic dominance constrained portfolio optimization: theory and computational tests ⋮ Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management ⋮ Portfolio diversification based on stochastic dominance under incomplete probability information ⋮ Some equilibrium problems under uncertainty and random variational inequalities ⋮ Smart network based portfolios ⋮ A variational inequality model of the spatial price network problem with uncertain data ⋮ On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty ⋮ A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures ⋮ A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse ⋮ Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization ⋮ Financial analysis based sectoral portfolio optimization under second order stochastic dominance ⋮ An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree ⋮ Alternate risk measures for emergency medical service system design ⋮ An incremental bundle method for portfolio selection problem under second-order stochastic dominance ⋮ Parametric multi-attribute utility functions for optimal profit under risk constraints ⋮ Sample average approximation of stochastic dominance constrained programs ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ Risk-averse feasible policies for large-scale multistage stochastic linear programs ⋮ Stability analysis of stochastic programs with second order dominance constraints ⋮ Tractable almost stochastic dominance ⋮ Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse ⋮ Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints ⋮ On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse ⋮ Stochastic dominance under the nonlinear expected utilities ⋮ Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints ⋮ A simple SSD-efficiency test ⋮ Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem ⋮ A characterization of Nash equilibrium for the games with random payoffs ⋮ Random variables, monotone relations, and convex analysis ⋮ On measuring and profiling catastrophic risks ⋮ An approximation scheme for stochastic programs with second order dominance constraints ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ Fair resource allocation: using welfare-based dominance constraints ⋮ On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management ⋮ A systematic approach for examining the impact of calibration uncertainty in disease modeling ⋮ Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk ⋮ Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria ⋮ Robust decision making using a general utility set ⋮ A smoothing algorithm for a new two-stage stochastic model of supply chain based on sample average approximation ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ On risk management of a two-stage stochastic mixed 0-1 model for the closed-loop supply chain design problem ⋮ Optimization with multivariate stochastic dominance constraints ⋮ Stochastically weighted stochastic dominance concepts with an application in capital budgeting ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse ⋮ B{\&}B method for discrete partial order optimization ⋮ Shape-restricted inference for Lorenz curves using duality theory ⋮ Risk aversion for an electricity retailer with second-order stochastic dominance constraints ⋮ Inverse stochastic dominance constraints and rank dependent expected utility theory ⋮ Portfolio construction based on stochastic dominance and target return distributions ⋮ On strategic multistage operational two-stage stochastic 0--1 optimization for the rapid transit network design problem ⋮ Maximum excess dominance: identifying impractical solutions in linear problems with interval coefficients ⋮ Novel approaches for portfolio construction using second order stochastic dominance ⋮ A joint model of probabilistic/robust constraints for gas transport management in stationary networks ⋮ On Banach spaces of vector-valued random variables and their duals motivated by risk measures ⋮ Bounds and Approximations for Multistage Stochastic Programs ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints ⋮ Can commodities dominate stock and bond portfolios? ⋮ A general test for SSD portfolio efficiency ⋮ Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization ⋮ Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties ⋮ Multivariate stochastic dominance for risk averters and risk seekers ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices ⋮ Incomplete risk-preference information in portfolio decision analysis ⋮ An inexact primal-dual algorithm for semi-infinite programming ⋮ Variational inequality approach to stochastic Nash equilibrium problems with an application to Cournot oligopoly ⋮ Enhanced indexation based on second-order stochastic dominance ⋮ Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
This page was built for publication: Optimization with Stochastic Dominance Constraints
