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Article: Optimization with a class of multivariate integral stochastic order constraints

TitleOptimization with a class of multivariate integral stochastic order constraints
Authors
Haskell, William B.Shanthikumar, J. GeorgeShen, Z. Max
Issue Date2013
Citation
Annals of Operations Research, 2013, v. 206, n. 1, p. 147-162 How to Cite?
DOI: http://dx.doi.org/10.1007/s10479-013-1337-0
AbstractWe 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 Identifierhttp://hdl.handle.net/10722/296082
ISSN
0254-5330
2023 Impact Factor: 4.4
2023 SCImago Journal Rankings: 1.019
ISI Accession Number ID
WOS:000320694000008

 

DC FieldValueLanguage
dc.contributor.authorHaskell, William B.-
dc.contributor.authorShanthikumar, J. George-
dc.contributor.authorShen, Z. Max-
dc.date.accessioned2021-02-11T04:52:47Z-
dc.date.available2021-02-11T04:52:47Z-
dc.date.issued2013-
dc.identifier.citationAnnals of Operations Research, 2013, v. 206, n. 1, p. 147-162-
dc.identifier.issn0254-5330-
dc.identifier.urihttp://hdl.handle.net/10722/296082-
dc.description.abstractWe 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.languageeng-
dc.relation.ispartofAnnals of Operations Research-
dc.titleOptimization with a class of multivariate integral stochastic order constraints-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s10479-013-1337-0-
dc.identifier.scopuseid_2-s2.0-84879415696-
dc.identifier.volume206-
dc.identifier.issue1-
dc.identifier.spage147-
dc.identifier.epage162-
dc.identifier.eissn1572-9338-
dc.identifier.isiWOS:000320694000008-
dc.identifier.issnl0254-5330-

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