Sample average approximation of stochastic dominance constrained programs

Mathematical Programming

Volumn 133, Issue 1-2, 2012, Pages 171-201

  Hu, Jian ^a   Homem De Mello, Tito ^b   Mehrotra, Sanjay ^a  

^a Northwestern University   (United States)

^b University of Illinois   (United States)

Author keywords

Convex programming; Cutting plane algorithms; Sample average approximation; Semi infinite programming; Stochastic dominance; Stochastic programming

Indexed keywords

ASYMPTOTIC CONVERGENCE; CUTTING PLANE ALGORITHMS; DECISION MAKERS; LOWER AND UPPER BOUNDS; NONLINEAR FUNCTIONS; OPTIMAL SOLUTIONS; OPTIMAL VALUES; OPTIMIZATION PROBLEMS; RATE OF CONVERGENCE; SAMPLE AVERAGE APPROXIMATION; SAMPLE SIZES; SECOND ORDERS; SEMI INFINITE PROGRAMMING; SEMI-INFINITE PROGRAMS; STOCHASTIC DOMINANCE;

APPROXIMATION THEORY; CONVEX PROGRAMMING; OPTIMAL SYSTEMS; OPTIMIZATION; STOCHASTIC PROGRAMMING;

APPROXIMATION ALGORITHMS;

EID: 84862287150     PISSN: 00255610     EISSN: 14364646     Source Type: Journal    
DOI: 10.1007/s10107-010-0428-9     Document Type: Article

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