Bibliography
Conference Paper (international conference)
Second Order Stochastic Dominance Constraints in Multi-objective Stochastic Programming Problems
: Quantitative Methods in Economics: Multiple Criteria Decision Making XIX, p. 165-171 , Eds: Reiff Martin, Gežík Pavel
: Quantitative Methods in Economics: Multiple Criteria Decision Making XIX, (Trenčianské Teplice, SK, 20180523)
: GA18-02739S, GA ČR
: stochastic multi-objective optimization problems, efficient solution, Wasserstein metric and L1 norm, Lipschitz property, second order stochastic dominance constraints, relaxation
: http://library.utia.cas.cz/separaty/2018/E/kankova-0490685.pdf
(eng): Many economic and financial applications lead to determi-nistic 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 either "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.
: BB
: 50202