SECOND ORDER STOCHASTIC DOMINANCE CONSTRAINTS IN MULTI-OBJECTIVE STOCHASTIC PROGRAMMING PROBLEMS

被引：0
|
作者：
Kankova, Vlasta [1 ,2 ]
机构：
[1] AS CR, Inst Informat Theory & Automat, Prague, Czech Republic
[2] Acad Sci Czech Republ, Inst Informat Theory & Automat, Dept Econometr, Pod Vodarenskou Vezi 4, Prague 18208 8, Czech Republic
来源：
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE: QUANTITATIVE METHODS IN ECONOMICS: MULTIPLE CRITERIA DECISION MAKING XIX | 2018年
关键词：
Stochastic multi-objective optimization problems; efficient solution; Wasserstein metric and L-1 norm; Lipschitz property; second order stochastic dominance constraints; relaxation; OPTIMIZATION;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Many economic and financial applications lead to deterministic optimization problems depending on a probability measure. These problems can be either static (one stage) or dynamic with finite (multistage) or infinite horizon, single-objective or multi-objective. Constraints sets can be "deterministic", given by probability constraints or stochastic dominance constraints. We focus on multi-objective problems and second order stochastic dominance constraints. To this end we employ the former results obtained for stochastic (mostly strongly) convex multi-objective problems and results obtained for one objective problems with second order stochastic dominance constraints. The relaxation approach will be included in the case of second order stochastic dominance constraints.
引用
收藏
页码：165 / 171
页数：7
相关论文
共 50 条
  • [21] Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
    Dentcheva, Darinka
    Ruszczynski, Andrzej
    OPTIMIZATION, 2010, 59 (03) : 323 - 338
  • [22] A redundancy detection algorithm for fuzzy stochastic multi-objective linear fractional programming problems
    Shiraz, Rashed Khanjani
    Charles, Vincent
    Tavana, Madjid
    Di Caprio, Debora
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2017, 35 (01) : 40 - 62
  • [23] Decision problems with stochastic dominance constraints
    Kopa, Milos
    FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 9TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS I-III, 2013, : 367 - 374
  • [24] Adjustable light robust optimization with second order stochastic dominance constraints
    Ji, Xinzhi
    Guo, Ranran
    Ye, Wuyi
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2024, 73
  • [25] A Recourse Stochastic Goal Programming Approach for the Multi-objective Stochastic Vehicle Routing Problem
    Masri, Hatem
    Ben Abdelaziz, Fouad
    Alaya, Houda
    JOURNAL OF MULTI-CRITERIA DECISION ANALYSIS, 2016, 23 (1-2) : 3 - 14
  • [26] Multi-objective stochastic programming to solve manpower allocation problem
    Ekhtiari, Mostafa
    Ghoseiri, Keivan
    INTERNATIONAL JOURNAL OF ADVANCED MANUFACTURING TECHNOLOGY, 2013, 65 (1-4): : 183 - 196
  • [27] USING MULTI-OBJECTIVE GENETIC PROGRAMMING TO SYNTHESIZE STOCHASTIC PROCESSES
    Ross, Brian
    Imada, Janine
    GENETIC PROGRAMMING THEORY AND PRACTICE VII, 2010, : 159 - 175
  • [28] Multi-objective stochastic programming to solve manpower allocation problem
    Mostafa Ekhtiari
    Keivan Ghoseiri
    The International Journal of Advanced Manufacturing Technology, 2013, 65 : 183 - 196
  • [29] An Analysis of Multi-objective Fuzzy Stochastic Nonlinear Programming Models
    Beaula, Thangaraj
    Seetha, R.
    COMMUNICATIONS IN MATHEMATICS AND APPLICATIONS, 2022, 13 (04): : 1287 - 1294
  • [30] OPTIMIZATION PROBLEMS WITH SECOND ORDER STOCHASTIC DOMINANCE CONSTRAINTS: DUALITY, COMPACT FORMULATIONS, AND CUT GENERATION METHODS
    Rudolf, Gabor
    Ruszczynski, Andrzej
    SIAM JOURNAL ON OPTIMIZATION, 2008, 19 (03) : 1326 - 1343
12345