Stochastic efficiency analysis with a reliability consideration

Guiwu Wei, Jian Chen and Jiamin Wang

Omega, 2014, vol. 48, issue C, 1-9

Abstract: Stochastic Data Envelopment Analysis (DEA) models have been introduced in the literature to assess the performance of operating entities with random input and output data. A stochastic DEA model with a reliability constraint is proposed in this study that maximizes the lower bound of an entity׳s efficiency score with some pre-selected probability. We define the concept of stochastic efficiency and develop a solution procedure. The economic interpretations of the stochastic efficiency index are presented when the inputs and outputs of each entity follow a multivariate joint normal distribution.

Keywords: Data Envelopment Analysis; Performance measurement; Stochastic efficiency analysis; Chance constraint; Value-at-risk (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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DOI: 10.1016/j.omega.2014.04.001

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