Relaxations of linear programming problems with first order stochastic dominance constraints

Noyan, Nilay and Rudolf, Gábor and Ruszczynski, Andrzej (2006) Relaxations of linear programming problems with first order stochastic dominance constraints. Operations research letters, 34 (6). pp. 653-659. ISSN 0167-6377

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Official URL: http://dx.doi.org/10.1016/j.orl.2005.10.004

Abstract

Linear stochastic programming problems with first order stochastic dominance (FSD) constraints are non-convex. For their mixed 01 linear programming formulation we present two convex relaxations based on second order stochastic dominance (SSD). We develop necessary and sufficient conditions for FSD, used to obtain a disjunctive programming formulation and to strengthen one of the SSD-based relaxations.

Item Type:	Article
Uncontrolled Keywords:	stochastic programming; stochastic dominance; valid inequalities; disjunctive programming
Subjects:	T Technology > T Technology (General)
ID Code:	110
Deposited By:	Nilay Noyan
Deposited On:	20 Dec 2006 02:00
Last Modified:	20 Apr 2009 16:33

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