Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

E. Borgonovo () and L. Peccati ()

Annals of Operations Research, 2010, vol. 176, issue 1, 235-258

Abstract: This work introduces a new analytical approach to the formulation of optimization problems with piecewise-defined (PD) objective functions. First, we introduce a new definition of multivariate PD functions and derive formal results for their continuity and differentiability. Then, we obtain closed-form expressions for the calculation of their moments. We apply these findings to three classes of optimization problems involving coherent risk measures. The method enables one to obtain insights on problem structure and on sensitivity to imprecision at the problem formulation stage, eliminating reliance on ad-hoc post-optimality numerical calculations. Copyright Springer Science+Business Media, LLC 2010

Keywords: Stochastic programming; Coherent risk measures; Piecewise-defined functions; Conditional value at risk (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-008-0504-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:176:y:2010:i:1:p:235-258:10.1007/s10479-008-0504-1

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-008-0504-1

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().