Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Distributionally robust second-order stochastic dominance constrained
  optimization with Wasserstein ball   We consider a distributionally robust second-order stochastic dominance
constrained optimization problem. We require the dominance constraints hold
with respect to all probability distributions in a Wasserstein ball centered at
the empirical distribution. We adopt the sample approximation approach to
develop a linear programming formulation that provides a lower bound. We
propose a novel split-and-dual decomposition framework which provides an upper
bound. We establish quantitative convergency for both lower and upper
approximations given some constraint qualification conditions. To efficiently
solve the non-convex upper bound problem, we use a sequential convex
approximation algorithm. Numerical evidences on a portfolio selection problem
valid the convergency and effectiveness of the proposed two approximation
methods.

5
The categories of this paper are: gr-qc
0
The categories of this paper are: hep-ph
24
The categories of this paper are: dg-ga
16
The categories of this paper are: stat
12
The categories of this paper are: nucl-th
34
The categories of this paper are: chem-ph
19
The categories of this paper are: eess
15
The categories of this paper are: nucl-ex
23
The categories of this paper are: solv-int
22
The categories of this paper are: chao-dyn
20
The categories of this paper are: acc-phys
4
The categories of this paper are: cond-mat
25
The categories of this paper are: patt-sol
29
The categories of this paper are: funct-an
31
The categories of this paper are: ao-sci
3
The categories of this paper are: physics