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Article: Optimization with a class of multivariate integral stochastic order constraints
Title | Optimization with a class of multivariate integral stochastic order constraints |
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Authors | |
Issue Date | 2013 |
Citation | Annals of Operations Research, 2013, v. 206, n. 1, p. 147-162 How to Cite? |
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. © 2013 Springer Science+Business Media New York. |
Persistent Identifier | http://hdl.handle.net/10722/296082 |
ISSN | 2023 Impact Factor: 4.4 2023 SCImago Journal Rankings: 1.019 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Haskell, William B. | - |
dc.contributor.author | Shanthikumar, J. George | - |
dc.contributor.author | Shen, Z. Max | - |
dc.date.accessioned | 2021-02-11T04:52:47Z | - |
dc.date.available | 2021-02-11T04:52:47Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Annals of Operations Research, 2013, v. 206, n. 1, p. 147-162 | - |
dc.identifier.issn | 0254-5330 | - |
dc.identifier.uri | http://hdl.handle.net/10722/296082 | - |
dc.description.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. © 2013 Springer Science+Business Media New York. | - |
dc.language | eng | - |
dc.relation.ispartof | Annals of Operations Research | - |
dc.title | Optimization with a class of multivariate integral stochastic order constraints | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s10479-013-1337-0 | - |
dc.identifier.scopus | eid_2-s2.0-84879415696 | - |
dc.identifier.volume | 206 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 147 | - |
dc.identifier.epage | 162 | - |
dc.identifier.eissn | 1572-9338 | - |
dc.identifier.isi | WOS:000320694000008 | - |
dc.identifier.issnl | 0254-5330 | - |