StochaTR swMATH ID: 11113 Software Authors: Bazovkin, P.; Mosler, K. Description: Stochastic linear programming with a distortion risk constraint. Coherent distortion risk measures are applied to capture the possible violation of a restriction in linear optimization problems whose parameters are uncertain. Each risk constraint induces an uncertainty set of coefficients, which is proved to be a weighted-mean trimmed region. Thus, given a sample of the coefficients, an uncertainty set is a convex polytope that can be exactly calculated. We construct an efficient geometrical algorithm to solve stochastic linear programs that have a single distortion risk constraint. The algorithm is available as an R-package. The algorithm’s asymptotic behavior is also investigated, when the sample is i.i.d. from a general probability distribution. Finally, we present some computational experience. Homepage: http://www.inside-r.org/packages/cran/StochaTR Dependencies: R Related Software: Qhull; R; modQR; ddalpha; fda.usc; OjaNP; CompPD; mrfDepth; depth; depth.plot; moQuantile; DepthProc; geometry; Octave; TukeyRegion; locfit; Rglpk; rgl; UCI-ml; robustbase Cited in: 7 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Stochastic linear programming with a distortion risk constraint. Zbl 1305.90321Mosler, Karl; Bazovkin, Pavel 2014 all top 5 Cited by 9 Authors 4 Mosler, Karl Clemens 3 Mozharovskyi, Pavlo 2 Bazovkin, Pavel 1 den Hertog, Dick 1 Dyckerhoff, Rainer 1 Liu, Xiaohui 1 Melenberg, Bertrand 1 Postek, Krzysztof 1 Zuo, Yijun all top 5 Cited in 6 Serials 2 Statistical Science 1 Annals of Operations Research 1 SIAM Review 1 Computational Statistics and Data Analysis 1 OR Spectrum 1 Journal of Computational and Graphical Statistics Cited in 4 Fields 5 Statistics (62-XX) 3 Operations research, mathematical programming (90-XX) 1 Convex and discrete geometry (52-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year