Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball

DOI10.1137/21M1394412zbMath1493.90119arXiv2101.00838OpenAlexW4225284527MaRDI QIDQ5080499

Jia Liu, Zhiping Chen, Yu Mei

Publication date: 31 May 2022

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

Full work available at URL: https://arxiv.org/abs/2101.00838

zbMATH Keywords

stochastic dominanceWasserstein distancedistributionally robust optimizationsequential convex approximation

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic models in economics (91B70) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Robustness in mathematical programming (90C17)

Related Items (1)

Frameworks and results in distributionally robust optimization

Uses Software

• DDSIP

Cites Work

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