Relaxations of linear programming problems with first order stochastic dominance constraints

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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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