Results 1 to 10 of about 4,522 (139)
Inequalities for stochastic models via supermodular orderings
Stochastic Models, 1997 Summary: The aim of this paper is to derive inequalities for random vectors by using the supermodular ordering. The properties of this ordering suggest to use it as a comparison for the ``strength of dependence'' in random vectors. In contrast to already established orderings of this type, the supermodular ordering has the advantage that it is not ...
Nicole Bauerle
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New First-Order Algorithms for Stochastic Variational Inequalities
SIAM Journal on Optimization, 2022 In this paper, we propose two new solution schemes to solve the stochastic strongly monotone variational inequality problems: the stochastic extra-point solution scheme and the stochastic extra-momentum solution scheme. The first one is a general scheme based on updating the iterative sequence and an auxiliary extra-point sequence.
Kevin Huang, Shuzhong Zhang
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Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints [PDF]
Mathematical Programming, 2007 Stochastic dominance relations are well studied in statistics, decision theory and economics. Recently, there has been significant interest in introducing dominance relations into stochastic optimization problems as constraints. In the discrete case, stochastic optimization models involving second order stochastic dominance constraints can be solved by
Nilay Noyan, Andrzej Ruszczynski
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On moment inequalities and stochastic ordering for weighted reliability measures [PDF]
International Journal of Mathematics and Mathematical Sciences, 2001 We obtain stochastic inequalities, error bounds, and classification probability for a general class of distributions. We introduce the notion of variability ordering via the probability functional and comparisons made for the weighted and the original distributions. We present moment inequalities, comparisons, and applications.
Oluyede, Broderick O., Terbeche, Mekki
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Reversing conditional orderings [PDF]
, 2013 We analyze some specific aspects concerning conditional orderings and relations among them. To this purpose we define a suitable concept of reversed conditional ordering and prove some related results.
A. Colangelo +17 more
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Stochastic Inequalities on Partially Ordered Spaces
The Annals of Probability, 1977 In this paper we discuss characterizations, basic properties and applications of a partial ordering, in the set of probabilities on a partially ordered Polish space $E$, defined by $P_1 \prec P_2 \operatorname{iff} \int f dP_1\leqq \int f dP_2$ for all real bounded increasing $f$.
Kamae, T., Krengel, U., O'Brien, G. L.
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Testing for infinite order stochastic dominance with applications to finance, risk and income inequality [PDF]
Journal of Economics and Finance, 2007 The authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using
Knight, J., Satchell, S.
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A First-order Method for Monotone Stochastic Variational Inequalities on Semidefinite Matrix Spaces [PDF]
2019 American Control Conference (ACC), 2019 Motivated by multi-user optimization problems and non-cooperative Nash games in stochastic regimes, we consider stochastic variational inequality (SVI) problems on matrix spaces where the variables are positive semidefinite matrices and the mapping is merely monotone.
Nahidsadat Majlesinasab +2 more
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Intertwining and commutation relations for birth-death processes [PDF]
, 2013 Given a birth-death process on $\mathbb {N}$ with semigroup $(P_t)_{t\geq0}$ and a discrete gradient ${\partial}_u$ depending on a positive weight $u$, we establish intertwining relations of the form ${\partial}_uP_t=Q_t\,{\partial}_u$, where $(Q_t)_{t ...
Chafaï, Djalil, Joulin, Aldéric
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Improved Revenue Bounds for Posted-Price and Second-Price Mechanisms
, 2021 We study revenue maximization through sequential posted-price (SPP) mechanisms in single-dimensional settings with $n$ buyers and independent but not necessarily identical value distributions.
Beyhaghi, Hedyeh +4 more
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