StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance
Optimization and Control
2025-02-27 v2
Abstract
Stochastic dominance is a fundamental concept in decision-making under uncertainty and quantitative finance, yet its practical application is hindered by computational intractability due to infinitely many constraints. We introduce the Julia package StochasticDominance, an open-source tool that efficiently verifies and optimizes under higher-order stochastic dominance constraints. Our approach builds on recent theoretical advancements that reduce infinite constraints to a finite number, making higher-order stochastic dominance more accessible. This package provides a user-friendly, black-box solution, enabling researchers and practitioners to incorporate stochastic dominance constraints seamlessly into their optimization frameworks.
Keywords
Cite
@article{arxiv.2502.17043,
title = {StochasticDominance.jl: A Julia Package for Higher Order Stochastic Dominance},
author = {Rajmadan Lakshmanan and Alois Pichler},
journal= {arXiv preprint arXiv:2502.17043},
year = {2025}
}