Optimization with a class of multivariate integral stochastic order constraints

Optimization with a class of multivariate integral stochastic order constraints

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Article ID: iaor20133941
Volume: 206
Issue: 1
Start Page Number: 147
End Page Number: 162
Publication Date: Jul 2013
Journal: Annals of Operations Research
Authors: , ,
Keywords: Lagrangian decomposition, order statistics
Abstract:

We study convex optimization problems with a class of multivariate integral stochastic order constraints defined in terms of parametrized families of increasing concave functions. We show that utility functions act as the Lagrange multipliers of the stochastic order constraints in this general setting, and that the dual problem is a search over utility functions. Practical implementation issues are discussed.

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