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Erscheinungsjahr
- 2012 (1)
Sprache
- Englisch (1)
Schlagworte
- stochastic optimization (1) (entfernen)
Projekt
- C7 (1)
Anwendungsgebiet
- C (1) (entfernen)
We consider convex optimization problems with $k$th order stochastic dominance constraints for $k\ge 2$. We discuss distances of random variables that are relevant for the dominance relation and establish quantitative stability results for optimal values and solution sets in terms of a suitably selected probability metrics.Moreover, we provide conditions ensuring that the optimal value function is Hadamard directionally differentiable. Finally, we discuss some implications of the results for empirical (Monte Carlo,
sample average) approximations of dominance constrained optimization models.