Optimization with a class of multivariate integral stochastic order constraints

被引：7
|
作者：
Haskell, William B.
Shanthikumar, J. George
Shen, Z. Max
机构：
来源：
ANNALS OF OPERATIONS RESEARCH | 2013年 / 206卷 / 01期
关键词：
DOMINANCE CONSTRAINTS; PROGRAMS; MODELS;
D O I：
10.1007/s10479-013-1337-0
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：147 / 162
页数：16
相关论文
共 50 条
  • [1] Optimization with a class of multivariate integral stochastic order constraints
    William B. Haskell
    J. George Shanthikumar
    Z. Max Shen
    [J]. Annals of Operations Research, 2013, 206 : 147 - 162
  • [2] Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints
    Dentcheva, Darinka
    Wolfhagen, Eli
    [J]. MATHEMATICS OF OPERATIONS RESEARCH, 2016, 41 (01) : 1 - 22
  • [3] Stochastic Programming with Multivariate Second Order Stochastic Dominance Constraints with Applications in Portfolio Optimization
    Rudabeh Meskarian
    Jörg Fliege
    Huifu Xu
    [J]. Applied Mathematics & Optimization, 2014, 70 : 111 - 140
  • [4] Stochastic Programming with Multivariate Second Order Stochastic Dominance Constraints with Applications in Portfolio Optimization
    Meskarian, Rudabeh
    Fliege, Joerg
    Xu, Huifu
    [J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2014, 70 (01): : 111 - 140
  • [5] OPTIMIZATION WITH MULTIVARIATE STOCHASTIC DOMINANCE CONSTRAINTS
    Dentcheva, Darinka
    Wolfhagen, Eli
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2015, 25 (01) : 564 - 588
  • [6] Optimization with multivariate stochastic dominance constraints
    Darinka Dentcheva
    Andrzej Ruszczyński
    [J]. Mathematical Programming, 2009, 117 : 111 - 127
  • [7] Optimization with multivariate stochastic dominance constraints
    Dentcheva, Darinka
    Ruszczynski, Andrzej
    [J]. MATHEMATICAL PROGRAMMING, 2009, 117 (1-2) : 111 - 127
  • [8] Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
    Wang, Shuang
    Pang, Liping
    Guo, Hua
    Zhang, Hongwei
    [J]. OPTIMIZATION, 2023, 72 (07) : 1839 - 1862
  • [9] Optimization based scheduling for a class of production systems with integral constraints
    GUAN XiaoHong 1
    2 Center for Intelligent and Networked Systems
    3 School of Science
    [J]. Science China Technological Sciences, 2009, (12) : 3533 - 3544
  • [10] Optimization based scheduling for a class of production systems with integral constraints
    XiaoHong Guan
    QiaoZhu Zhai
    YongHan Feng
    Feng Gao
    [J]. Science in China Series E: Technological Sciences, 2009, 52 : 3533 - 3544
12345