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Optimization Under First Order Stochastic Dominance Constraints [PDF]

, 2004
We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions of optimality for these models.
Darinka Dentcheva, Andrzej Ruszczynski
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Testing for First-Order Stochastic Dominance: A New Distribution-Free Test

The Statistician, 1996
SUMMARY This paper introduces a new distribution-free test for first-order stochastic dominance. It can be viewed as a modification of the well-known Wilcoxon-Mann-Whitney test. As it is based on the p-p-plot of two distribution functions the new test statistic has a nice pictorial interpretation.
Friedrich Schmid, Mark Trede
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Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

SIAM Journal on Optimization, 2015
Summary: Considering first-order stochastic dominance constraints for random variables arising as optimal values of stochastic programs with linear recourse, verifiable sufficient conditions for metric regularity are presented. A growth condition developed in [\textit{R. Henrion} and \textit{W. Römisch}, Math. Program. 84, No.
Claus, Matthias, Schultz, Rüdiger
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The first-order stochastic dominance ordering of the Singh–Maddala distribution

Economics Letters, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The mass transfer approach to multivariate discrete first order stochastic dominance: Direct proof and implications

Journal of Mathematical Economics, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Extreme Points and First-Order Stochastic Dominance: Theory and Applications

SSRN Electronic Journal, 2023
Kai Hao Yang, Alexander Zentefis
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Faster First-Order Methods for Stochastic Non-Convex Optimization on Riemannian Manifolds

IEEE Transactions on Pattern Analysis and Machine Intelligence, 2021
Pan Zhou, Xiao-Tong Yuan, Jiashi Feng
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First-Order Stochastic Dominance Violations, Risk Preferences and Framing Effects

SSRN Electronic Journal, 2023
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Fuzzy Adaptive Optimized Leader-Following Formation Control for Second-Order Stochastic Multiagent Systems

IEEE Transactions on Industrial Informatics, 2022
Yong-ming Li, Shaocheng Tong
exaly  

New First-Order Algorithms for Stochastic Variational Inequalities

SIAM Journal on Optimization, 2022
Shuzhong Zhang
exaly