Stochastic Dynamic Optimization with Multivariate Stochastic Dominance Constraints
نویسندگان
چکیده
In this problem Z0 is a convex closed subset of a Banach spaceZ , and G and H are continuous operators from Z to the space of integrable random variables L1(Ω,F , P). The random variable Y plays the role of a benchmark outcome. For example, one may set Y = G(z̄), where z̄ ∈ Z0 is some reasonable value of the decision vector, which is currently employed in the system. The relation (2) is the stochastic dominance relation of the second order. It is defined as follows: A random variable X dominates another random variable Y in the second order, if
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