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: | Shen Z, Haskell William, Shanthikumar J |
Keywords: | Lagrangian decomposition, order statistics |
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.