Pattern definition of the p‐efficiency concept

Pattern definition of the p‐efficiency concept

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Article ID: iaor20126087
Volume: 200
Issue: 1
Start Page Number: 23
End Page Number: 36
Publication Date: Nov 2012
Journal: Annals of Operations Research
Authors:
Keywords: stochastic linear programme
Abstract:

This study revisits the celebrated p‐efficiency concept introduced by Prékopa (Z. Oper. Res. 34:441–461, 1990) and defines a p‐efficient point (pLEP) as a combinatorial pattern. The new definition uses elements from the combinatorial pattern recognition field and is based on the combinatorial pattern framework for stochastic programming problems proposed in Lejeune (Stochastic programming e‐print series (SPEPS) 2010‐5, 2010). The approach is based on the binarization of the probability distribution, and the generation of a consistent partially defined Boolean function representing the combination (F,p) of the binarized probability distribution F and the enforced probability level p. A combinatorial pattern provides a compact representation of the defining characteristics of a pLEP and opens the door to new methods for the generation of pLEPs. We show that a combinatorial pattern representing a pLEP constitutes a strong and prime pattern and we derive it through the solution of an integer programming problem. Next, we demonstrate that the (finite) collection of pLEPs can be represented as a disjunctive normal form (DNF). We propose a mixed‐integer programming formulation allowing for the construction of the DNF that is shown to be prime and irreducible. We illustrate the proposed method on a problem studied by Prékopa (Stochastic programming: handbook in operations research and management science, vol. 10, Elsevier, Amsterdam, 2003).

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