Modeling Stochastic Dominance as Infinite-Dimensional Constraint Systems via the Strassen Theorem

We use the Strassen theorem to solve stochastic optimization problems with stochastic dominance constraints. First, we show that a dominance-constrained problem on general probability spaces can be expressed as an infinite-dimensional optimization problem with a convenient representation of the domi...

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Bibliographic Details
Published in:	Journal of optimization theory and applications Vol. 178; no. 3; pp. 726 - 742
Main Authors:	Haskell, William B., Toriello, Alejandro
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.09.2018 Springer Nature B.V
Subjects:	Applications of Mathematics Calculus of Variations and Optimal Control; Optimization Constraints Dominance Economic models Engineering Mathematics Mathematics and Statistics Nonlinear programming Operations Research/Decision Theory Optimization Probability theory Theorems Theory of Computation Stochastic dominance Strassen theorem 90C15 Convex optimization 90C25
ISSN:	0022-3239, 1573-2878
Online Access:	Get full text
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