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- Publisher Website: 10.1007/s10479-016-2299-9
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Article: Aspects of optimization with stochastic dominance
Title | Aspects of optimization with stochastic dominance |
---|---|
Authors | |
Keywords | Stochastic dominance Duality Sample average approximation Convex optimization |
Issue Date | 2017 |
Citation | Annals of Operations Research, 2017, v. 253, n. 1, p. 247-273 How to Cite? |
Abstract | © 2016, Springer Science+Business Media New York. We consider stochastic optimization problems with integral stochastic order constraints. This problem class is characterized by an infinite number of constraints indexed by a function space of increasing concave utility functions. We are interested in effective numerical methods and a Lagrangian duality theory. First, we show how sample average approximation and linear programming can be combined to provide a computational scheme for this problem class. Then, we compute the Lagrangian dual problem to gain more insight into this problem class. |
Persistent Identifier | http://hdl.handle.net/10722/296132 |
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 | 2021-02-11T04:52:54Z | - |
dc.date.available | 2021-02-11T04:52:54Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Annals of Operations Research, 2017, v. 253, n. 1, p. 247-273 | - |
dc.identifier.issn | 0254-5330 | - |
dc.identifier.uri | http://hdl.handle.net/10722/296132 | - |
dc.description.abstract | © 2016, Springer Science+Business Media New York. We consider stochastic optimization problems with integral stochastic order constraints. This problem class is characterized by an infinite number of constraints indexed by a function space of increasing concave utility functions. We are interested in effective numerical methods and a Lagrangian duality theory. First, we show how sample average approximation and linear programming can be combined to provide a computational scheme for this problem class. Then, we compute the Lagrangian dual problem to gain more insight into this problem class. | - |
dc.language | eng | - |
dc.relation.ispartof | Annals of Operations Research | - |
dc.subject | Stochastic dominance | - |
dc.subject | Duality | - |
dc.subject | Sample average approximation | - |
dc.subject | Convex optimization | - |
dc.title | Aspects of optimization with stochastic dominance | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s10479-016-2299-9 | - |
dc.identifier.scopus | eid_2-s2.0-84983388971 | - |
dc.identifier.volume | 253 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 247 | - |
dc.identifier.epage | 273 | - |
dc.identifier.eissn | 1572-9338 | - |
dc.identifier.isi | WOS:000402127000012 | - |
dc.identifier.issnl | 0254-5330 | - |