Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse
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Publication:4641665
DOI10.1137/17M1120063zbMath1390.90529OpenAlexW2802230683MaRDI QIDQ4641665
Publication date: 18 May 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1120063
stochastic programmingprobability metricsstochastic dominancedistributionally robustquantitative stability
Sensitivity, stability, parametric optimization (90C31) Stochastic models in economics (91B70) Stochastic stability in control theory (93E15)
Related Items (7)
Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric ⋮ On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices ⋮ Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse
Uses Software
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