We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...
SIAM Journal on Numerical Analysis, Vol. 22, No. 5 (Oct., 1985), pp. 821-850 (30 pages) We consider the problem of minimizing a smooth function of n variables subject to m smooth equality constraints.
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback