Stability and sensitivity of optimization problems with first order stochastic dominance constraints

SIAM Journal on Optimization

Volumn 18, Issue 1, 2007, Pages 322-337

  Dentcheva, Darinka ^a   Henrion, René ^b   Ruszczyński, Andrzej ^c  

^a Stevens Institute of Technology   (United States)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^c RUTGERS UNIVERSITY   (United States)

Author keywords

Chance constraints; Directional differentiability; Lipschitz stability; Metric regularity; Semi infinite optimization; Stochastic ordering; Stochastic programming

Indexed keywords

CHANCE CONSTRAINTS; DIRECTIONAL DIFFERENTIABILITY; LIPSCHITZ STABILITY; METRIC REGULARITY; SEMI INFINITE OPTIMIZATION; STOCHASTIC ORDERING;

CONSTRAINT THEORY; OPTIMIZATION; PERTURBATION TECHNIQUES; SENSITIVITY ANALYSIS; STOCHASTIC PROGRAMMING;

PROBLEM SOLVING;

EID: 39449105136     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/060650118     Document Type: Article

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