Exact Penalization, Level Function Method and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints

Level function methods and cutting plane methods have been recently proposed to solve stochastic programs with stochastic second order dominance (SSD) constraints. A level function method requires an exact penalization setup because it can only be applied to the objective function, not the constraints. Slater constraint qualification (SCQ) is often needed for deriving exact penalization. … Read more