### Abstract

Original language | English |
---|---|

Journal | Mathematical Programming |

Volume | 173 |

Issue number | 1/2 |

Pages (from-to) | 193-219 |

Number of pages | 27 |

ISSN | 0025-5610 |

DOIs | |

Publication status | Published - Jan 2019 |

### Keywords

- Multivariate first-order dominance
- Usual stochastic order
- Characterization
- Network problem
- Checking algorithm

### Cite this

*Mathematical Programming*,

*173*(1/2), 193-219. https://doi.org/10.1007/s10107-017-1213-9

}

*Mathematical Programming*, vol. 173, no. 1/2, pp. 193-219. https://doi.org/10.1007/s10107-017-1213-9

**First-order Dominance : Stronger Characterization and a Bivariate Checking Algorithm.** / Martin Range, Troels; Østerdal, Lars Peter.

Research output: Contribution to journal › Journal article › Research › peer-review

TY - JOUR

T1 - First-order Dominance

T2 - Stronger Characterization and a Bivariate Checking Algorithm

AU - Martin Range, Troels

AU - Østerdal, Lars Peter

N1 - Published online: 2. December 2017

PY - 2019/1

Y1 - 2019/1

N2 - How to determine whether one distribution first-order dominates another is a fundamental problem that has many applications in economics, finance, probability theory, and statistics. Nevertheless, little is known about how to efficiently check first-order dominance for finite multivariate distributions. Utilizing that this problem can be formulated as a transportation problem with a special structure, we provide a stronger characterization of multivariate first-order dominance and develop a linear time complexity checking algorithm for the bivariate case. We illustrate the use of the checking algorithm when numerically assessing first-order dominance among continuous bivariate distributions.

AB - How to determine whether one distribution first-order dominates another is a fundamental problem that has many applications in economics, finance, probability theory, and statistics. Nevertheless, little is known about how to efficiently check first-order dominance for finite multivariate distributions. Utilizing that this problem can be formulated as a transportation problem with a special structure, we provide a stronger characterization of multivariate first-order dominance and develop a linear time complexity checking algorithm for the bivariate case. We illustrate the use of the checking algorithm when numerically assessing first-order dominance among continuous bivariate distributions.

KW - Multivariate first-order dominance

KW - Usual stochastic order

KW - Characterization

KW - Network problem

KW - Checking algorithm

KW - Multivariate first-order dominance

KW - Usual stochastic order

KW - Characterization

KW - Network problem

KW - Checking algorithm

UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954925422131

U2 - 10.1007/s10107-017-1213-9

DO - 10.1007/s10107-017-1213-9

M3 - Journal article

VL - 173

SP - 193

EP - 219

JO - Mathematical Programming

JF - Mathematical Programming

SN - 0025-5610

IS - 1/2

ER -