Optimization with a class of multivariate integral stochastic order constraints

William Haskell (), J. Shanthikumar and Z. Shen

Annals of Operations Research, 2013, vol. 206, issue 1, 147-162

Abstract: 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. Copyright Springer Science+Business Media New York 2013

Date: 2013
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DOI: 10.1007/s10479-013-1337-0

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