Optimization with stochastic dominance constraints

被引：248
作者：
Dentcheva, D
Ruszczynski, A
机构：
[1] Stevens Inst Technol, Dept Math Sci, Hoboken, NJ 07030 USA
[2] Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA
[3] RUTCOR, Piscataway, NJ 08854 USA
来源：
SIAM JOURNAL ON OPTIMIZATION | 2003年 / 14卷 / 02期
关键词：
stochastic programming; stochastic dominance; partial orders; optimality conditions; duality;
D O I：
10.1137/S1052623402420528
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for these models and show that the Lagrange multipliers corresponding to dominance constraints are concave nondecreasing utility functions. The models and results are illustrated on a portfolio optimization problem.
引用
收藏
页码：548 / 566
页数：19
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