| Article ID: | iaor20073119 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 6 |
| Start Page Number: | 653 |
| End Page Number: | 659 |
| Publication Date: | Nov 2006 |
| Journal: | Operations Research Letters |
| Authors: | Ruszczyski Andrzej, Noyan Nilay, Rudolf Gbor |
| Keywords: | stochastic processes, programming: probabilistic |
Linear stochastic programming problems with first order stochastic dominance (FSD) constraints are non-convex. For their mixed 0–1 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.