We consider a new class of optimization problems involving stochastic dominance constraints of second order. We develop a new splitting approach to these models, optimality conditions and duality theory. These results are used to construct special decomposition methods
AbstractWe derive a cutting plane decomposition method for stochastic programs with first-order domi...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
For stochastic optimization problems involving dominance constraints of the second order, using the ...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
We analyze the stability and sensitivity of stochastic optimization problems with stochastic dominan...
This paper studies duality and optimality conditions for general convex stochastic optimization prob...
Stochastic dominance relations are well-studied in statistics, decision theory and economics. Recent...
Stochastic dominance relations are well-studied in statistics, decision theory and economics. Re-cen...
We introduce stochastic integer programs with dominance constraints induced by mixed-integer linear ...
Stochastic dominance constraints allow a decision-maker to manage risk in an optimization setting by...
Stochastic optimal control addresses sequential decision-making under uncertainty. As applications l...
We propose a new class of stochastic integer programs whose special features are dominance constrain...
This article studies convex duality in stochastic optimization over fi-nite discrete-time. The first...
AbstractWe derive a cutting plane decomposition method for stochastic programs with first-order domi...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
For stochastic optimization problems involving dominance constraints of the second order, using the ...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
We analyze the stability and sensitivity of stochastic optimization problems with stochastic dominan...
This paper studies duality and optimality conditions for general convex stochastic optimization prob...
Stochastic dominance relations are well-studied in statistics, decision theory and economics. Recent...
Stochastic dominance relations are well-studied in statistics, decision theory and economics. Re-cen...
We introduce stochastic integer programs with dominance constraints induced by mixed-integer linear ...
Stochastic dominance constraints allow a decision-maker to manage risk in an optimization setting by...
Stochastic optimal control addresses sequential decision-making under uncertainty. As applications l...
We propose a new class of stochastic integer programs whose special features are dominance constrain...
This article studies convex duality in stochastic optimization over fi-nite discrete-time. The first...
AbstractWe derive a cutting plane decomposition method for stochastic programs with first-order domi...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
For stochastic optimization problems involving dominance constraints of the second order, using the ...