Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Theoretical Computer Science,Software
Link
http://epubs.siam.org/doi/pdf/10.1137/070702473
Reference24 articles.
1. Coherent Measures of Risk
2. Optimization with Stochastic Dominance Constraints
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4. Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
5. Inverse stochastic dominance constraints and rank dependent expected utility theory
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