2 papers
math.OC2025
Higher-Order Stochastic Dominance Constraints in Optimization
Rajmadan Lakshmanan, Alois Pichler, Miloš Kopa
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the op…
math.OC2022
Contractivity of Bellman Operator in Risk Averse Dynamic Programming with Infinite Horizon
Martin Šmíd, Miloš Kopa
The paper deals with a risk averse dynamic programming problem with infinite horizon. First, the required assumptions are formulated to have the problem well defined. Then the Bell…