Name
Abstract | ||
|---|---|---|
We introduce a new preference relation in the space of random variables, which we call robust stochastic dominance. We consider stochastic optimization problems where risk-aversion is expressed by a robust stochastic dominance constraint. These are composite semi-infinite optimization problems with constraints on compositions of measures of risk and utility functions. We develop necessary and sufficient conditions of optimality for such optimization problems in the convex case. In the nonconvex case, we derive necessary conditions of optimality under additional smoothness assumptions of some mappings involved in the problem. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1007/s10107-009-0321-6 | Mathematical Programming |
Keywords | Field | DocType |
robust stochastic dominance,nonconvex case,additional smoothness assumption,convex case,optimization problem,risk-averse optimization,necessary condition,robust stochastic dominance constraint,composite semi-infinite optimization problem,robust preferences · stochastic order · stochastic dominance constraints · risk constraints · semi-infinite optimization,new preference relation,stochastic optimization problem,Robust preferences,Stochastic order,Stochastic dominance constraints,Risk constraints,Semi-infinite optimization,90C15,90C46,90C48,46N10,60E15 | Mathematical optimization,Stochastic optimization,Probabilistic-based design optimization,Stochastic dominance,Semi-infinite programming,Stochastic programming,Optimization problem,Convex optimization,Stochastic ordering,Mathematics | Journal |
Volume | Issue | ISSN |
123 | 1 | 0025-5610 |
Citations | PageRank | References |
14 | 0.68 | 12 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Darinka Dentcheva | 1 | 345 | 25.80 |
| Andrzej Ruszczyński | 2 | 798 | 84.38 |