LIPSCHITZIAN PROPERTIES AND STABILITY OF A CLASS OF FIRST-ORDER STOCHASTIC DOMINANCE CONSTRAINTS

被引：4
|
作者：
Claus, M. [1 ]
Schultz, R. [1 ]
机构：
[1] Univ Duisburg Essen, Fac Math, D-45127 Essen, Germany
来源：
SIAM JOURNAL ON OPTIMIZATION | 2015年 / 25卷 / 01期
关键词：
stochastic programming; stochastic dominance; stability; Aubin property; Lipschitzian properties; OPTIMIZATION PROBLEMS; METRIC REGULARITY; PROGRAMS; FORMULATIONS; SENSITIVITY; DUALITY;
D O I：
10.1137/140960347
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Considering first-order stochastic dominance constraints for random variables arising as optimal values of stochastic programs with linear recourse, verifiable sufficient conditions for metric regularity are presented. A growth condition developed in [R. Henrion and W. Romisch, Math. Program., 84 (1999), pp. 55-88] has a crucial role in the analysis of the present paper. Implications regarding stability and sensitivity of optimal values and optimal solutions of stochastic optimization problems involving the dominance constraints considered conclude the paper.
引用
收藏
页码：396 / 415
页数：20
相关论文
共 50 条
  • [1] Tests for the first-order stochastic dominance
    Zhuang, Weiwei
    Wang, Peiming
    Chen, Jiahua
    CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2024, 52 (04):
  • [2] Violations of first-order stochastic dominance
    Williams, Brett
    JOURNAL OF THE ECONOMIC SCIENCE ASSOCIATION-JESA, 2023, 9 (02): : 239 - 251
  • [3] Violations of first-order stochastic dominance
    Brett Williams
    Journal of the Economic Science Association, 2023, 9 : 239 - 251
  • [4] An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
    Drapkin, Dimitri
    Schultz, Ruediger
    DISCRETE APPLIED MATHEMATICS, 2010, 158 (04) : 291 - 297
  • [5] Almost first-order stochastic dominance by distorted expectations
    Yang, Jianping
    Zhou, Tian
    Zhuang, Weiwei
    PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2023, 37 (04) : 888 - 906
  • [6] Violations of first-order stochastic dominance as salience effects
    Dertwinkel-Kalt, Markus
    Koester, Mats
    JOURNAL OF BEHAVIORAL AND EXPERIMENTAL ECONOMICS, 2015, 59 : 42 - 46
  • [7] STOCHASTIC PROGRAMS WITH FIRST-ORDER DOMINANCE CONSTRAINTS INDUCED BY MIXED-INTEGER LINEAR RECOURSE
    Gollmer, Ralf
    Neise, Frederike
    Schultz, Ruediger
    SIAM JOURNAL ON OPTIMIZATION, 2008, 19 (02) : 552 - 571
  • [8] A Model of Probabilistic Choice Satisfying First-Order Stochastic Dominance
    Blavatskyy, Pavlo R.
    MANAGEMENT SCIENCE, 2011, 57 (03) : 542 - 548
  • [9] Stability analysis of stochastic programs with second order dominance constraints
    Liu, Yongchao
    Xu, Huifu
    MATHEMATICAL PROGRAMMING, 2013, 142 (1-2) : 435 - 460
  • [10] Stability analysis of stochastic programs with second order dominance constraints
    Yongchao Liu
    Huifu Xu
    Mathematical Programming, 2013, 142 : 435 - 460
12345