TY - GEN
T1 - Optimization with multivariate stochastic dominance constraints
AU - Dentcheva, Darinka
AU - Wolfhagen, Eli
PY - 2013
Y1 - 2013
N2 - We consider risk-averse stochastic optimization problems with a risk-shaping constraint in the form of multivariate stochastic order constraint. The constraint requires that a random vector depending on our decisions stochastically dominates a given benchmark random vector. We discuss a suitable multivariate stochastic orders and focus on the linear stochastic dominance of second order.We propose a numerical method for solving the problem and formulate sufficient conditions for its convergence. Numerical experience confirms the efficiency of the method.
AB - We consider risk-averse stochastic optimization problems with a risk-shaping constraint in the form of multivariate stochastic order constraint. The constraint requires that a random vector depending on our decisions stochastically dominates a given benchmark random vector. We discuss a suitable multivariate stochastic orders and focus on the linear stochastic dominance of second order.We propose a numerical method for solving the problem and formulate sufficient conditions for its convergence. Numerical experience confirms the efficiency of the method.
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M3 - Conference contribution
AN - SCOPUS:84892411535
SN - 9781138000865
T3 - Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
SP - 2603
EP - 2610
BT - Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
T2 - 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
Y2 - 16 June 2013 through 20 June 2013
ER -