Optimization with multivariate stochastic dominance constraints.
Darinka DentchevaAndrzej RuszczynskiPublished in: Math. Program. (2009)
Keyphrases
- stochastic dominance
- constrained optimization
- optimization problems
- optimization algorithm
- fuzzy random variables
- random variables
- np hard optimization problems
- linear constraints
- optimization process
- decision variables
- global optimization
- optimization method
- penalty function
- probability distribution
- statistical tests
- multiple objectives
- mixed integer
- fuzzy logic
- lagrange multipliers
- nonlinear programming
- probabilistic model
- pattern recognition