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) |
| Divisions: | Faculty of Engineering and Natural Sciences |
| Depositing User: | Nilay Noyan |
| Date Deposited: | 20 Dec 2006 02:00 |
| Last Modified: | 26 Apr 2022 08:01 |
| URI: | https://research.sabanciuniv.edu/id/eprint/110 |
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