Optimization with Reference-Based Robust Preference Constraints
From MaRDI portal
Publication:4588856
DOI10.1137/16M1105050zbMath1373.90087MaRDI QIDQ4588856
Publication date: 3 November 2017
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
stochastic programmingrisk aversionstochastic dominancealmost stochastic dominancefunctionally robust optimization
Related Items
Preference Robust Modified Optimized Certainty Equivalent ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete ⋮ Statistical robustness in utility preference robust optimization models ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal path problems with second-order stochastic dominance constraints
- An optimal method for stochastic composite optimization
- Sample average approximation of stochastic dominance constrained programs
- Tractable almost stochastic dominance
- Robust linear optimization under general norms.
- An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
- Stochastic approximation methods for constrained and unconstrained systems
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Conditioning of convex piecewise linear stochastic programs
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Interpolation and approximation by polynomials
- Stochastically weighted stochastic dominance concepts with an application in capital budgeting
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Portfolio construction based on stochastic dominance and target return distributions
- On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
- Robust Convex Optimization
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance
- Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
- State of the Art—Utility Assessment Methods
- New Formulations for Optimization under Stochastic Dominance Constraints
- Lectures on Stochastic Programming
- Robust Stochastic Approximation Approach to Stochastic Programming
- stochastic quasigradient methods and their application to system optimization†
- A Class of Utility Functions Containing all the Common Utility Functions
- Introduction to Stochastic Programming
- Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Optimization with Stochastic Dominance Constraints
- On a Class of Minimax Stochastic Programs
- On solving a linear program with one quadratic constraint
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- A Convex Analytic Approach to Risk-Aware Markov Decision Processes
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- Stochastic Dominance
- CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
- Programming with a Quadratic Constraint
- The Efficiency Analysis of Choices Involving Risk