New Formulations for Optimization under Stochastic Dominance Constraints
نویسندگان
چکیده
منابع مشابه
New Formulations for Optimization under Stochastic Dominance Constraints
Stochastic dominance constraints allow a decision-maker to manage risk in an optimization setting by requiring their decision to yield a random outcome which stochastically dominates a reference random outcome. We present new integer and linear programming formulations for optimization under first and second-order stochastic dominance constraints, respectively. These formulations are more compa...
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In this problem Z0 is a convex closed subset of a Banach spaceZ , and G and H are continuous operators from Z to the space of integrable random variables L1(Ω,F , P). The random variable Y plays the role of a benchmark outcome. For example, one may set Y = G(z̄), where z̄ ∈ Z0 is some reasonable value of the decision vector, which is currently employed in the system. The relation (2) is the stoch...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2008
ISSN: 1052-6234,1095-7189
DOI: 10.1137/070707956