Research Reports from the Department of Operations
Document Type
Report
Publication Date
12-1-1984
Abstract
Current stochastic dominance algorithms use step functions to approximate the cumulative distributions of the alternatives even when the underlying random variables are known to be continuous. Since stochastic dominance tests require repeated integration of the cumulative distribution functions, a compounding of errors may result from this approximation. This article introduces a new stochastic dominance algorithm that approximates the cumulative distribution function by piecewise linear approximations. Comparisons between the new and old algorithms are performed for normally distributed alternatives.
Keywords
Stochastic processes, Operations research, Algorithms, Probabilities
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 556
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Ritchken, Peter H.; Agarwal, Yogesh Kumar; and Gupta, Alok K., "A Stochastic Dominance Algorithm Using Piecewise Linear Approximations" (1984). Research Reports from the Department of Operations. 554.
https://commons.case.edu/wsom-ops-reports/554