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.