Stochastic Optimization and Coupling

Fuente: arXiv
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Autores principales: Yang, Frank, Yang, Kai Hao
Formato: Preprint
Publicado: 2026
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author Yang, Frank
Yang, Kai Hao
author_facet Yang, Frank
Yang, Kai Hao
contents We study optimization problems in which a linear functional is maximized over probability measures that are dominated by a given measure according to an integral stochastic order in an arbitrary dimension. We show that the following four properties are equivalent for any such order: (i) the test function cone is closed under pointwise minimum, (ii) the value function is affine, (iii) the solution correspondence has a convex graph with decomposable extreme points, and (iv) every ordered pair of measures admits an order-preserving coupling. As corollaries, we derive the extreme and exposed point properties involving integral stochastic orders such as multidimensional mean-preserving spreads and stochastic dominance. Applying these results, we generalize Blackwell's theorem by completely characterizing the comparisons of experiments that admit two equivalent descriptions -- through instrumental values and through information technologies. We also show that these results immediately yield new insights into information design, mechanism design, and decision theory.
format Preprint
id arxiv_https___arxiv_org_abs_2603_11448
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle Stochastic Optimization and Coupling
Yang, Frank
Yang, Kai Hao
Theoretical Economics
Probability
We study optimization problems in which a linear functional is maximized over probability measures that are dominated by a given measure according to an integral stochastic order in an arbitrary dimension. We show that the following four properties are equivalent for any such order: (i) the test function cone is closed under pointwise minimum, (ii) the value function is affine, (iii) the solution correspondence has a convex graph with decomposable extreme points, and (iv) every ordered pair of measures admits an order-preserving coupling. As corollaries, we derive the extreme and exposed point properties involving integral stochastic orders such as multidimensional mean-preserving spreads and stochastic dominance. Applying these results, we generalize Blackwell's theorem by completely characterizing the comparisons of experiments that admit two equivalent descriptions -- through instrumental values and through information technologies. We also show that these results immediately yield new insights into information design, mechanism design, and decision theory.
title Stochastic Optimization and Coupling
topic Theoretical Economics
Probability
url https://arxiv.org/abs/2603.11448