کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
480555 | 1446080 | 2012 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse](/preview/png/480555.png)
We consider two-stage risk-averse stochastic optimization problems with a stochastic ordering constraint on the recourse function. Two new characterizations of the increasing convex order relation are provided. They are based on conditional expectations and on integrated quantile functions: a counterpart of the Lorenz function. We propose two decomposition methods to solve the problems and prove their convergence. Our methods exploit the decomposition structure of the risk-neutral two-stage problems and construct successive approximations of the stochastic ordering constraints. Numerical results confirm the efficiency of the methods.
► Two-stage problems with order-constraint on the recourse are analyzed.
► Increasing convex order (ICO) is consistent with risk-averse preferences.
► Increasing convex order can be defined by conditional expectations. ICO can be expressed by a counterpart of the Lorenz function using upper quantiles.
► Two decomposition methods with finite convergence are proposed.
Journal: European Journal of Operational Research - Volume 219, Issue 1, 16 May 2012, Pages 1–8