Relaxations of linear programming problems with first order stochastic dominance constraints

Relaxations of linear programming problems with first order stochastic dominance constraints

0.00 Avg rating0 Votes
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: , ,
Keywords: stochastic processes, programming: probabilistic
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.