Optimization with stochastic dominance constraints

Darinka Dentcheva; Andrzej Ruszczyński

doi:10.1137/S1052623402420528

Optimization with stochastic dominance constraints

Darinka Dentcheva
, Andrzej Ruszczyński

Rutgers - The State University of New Jersey, New Brunswick

Research output: Contribution to journal › Article › peer-review

295 Scopus citations

Abstract

We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for these models and show that the Lagrange multipliers corresponding to dominance constraints are concave nondecreasing utility functions. The models and results are illustrated on a portfolio optimization problem.

Original language	English
Pages (from-to)	548-566
Number of pages	19
Journal	SIAM Journal on Optimization
Volume	14
Issue number	2
DOIs	https://doi.org/10.1137/S1052623402420528
State	Published - 2004

Keywords

Duality
Optimality conditions
Partial orders
Stochastic dominance
Stochastic programming

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KW - Duality

KW - Optimality conditions

KW - Partial orders

KW - Stochastic dominance

KW - Stochastic programming

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JO - SIAM Journal on Optimization

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Optimization with stochastic dominance constraints

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Keywords

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