Sample average approximation of stochastic dominance constrained programs
نویسندگان
چکیده
منابع مشابه
Sample average approximation of stochastic dominance constrained programs
In this paper we study optimization problems with second-order stochastic dominance constraints. This class of problems allows for the modeling of optimization problems where a riskaverse decision maker wants to ensure that the solution produced by the model dominates certain benchmarks. Here we deal with the case of multi-variate stochastic dominance under general distributions and nonlinear f...
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In this paper we study optimization problems with second-order stochastic dominance constraints. This class of problems has been receiving increasing attention in the literature as it allows for the modeling of optimization problems where a risk-averse decision maker wants to ensure that the solution produced by the model dominates certain benchmarks. Here we deal with the case of multi-variate...
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ACKNOWLEDGEMENTS First of all, I would like to thank my advisor Prof. Shabbir Ahmed for his care and fine guidance through the years. I thank him for introducing me to the fascinating field of stochastic programming. From beginning to end, I find his exuberant creativity and in-depth scholarly knowledge inspiring. I feel fortunate to have such a wonderful mentor who taught me in many aspects: c...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2010
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-010-0428-9