Relaxations of linear programming problems with first order stochastic dominance constraints

被引：26
|
作者：
Noyan, Nilay
Rudolf, Gabor
Ruszczynski, Andrzej
机构：
[1] Rutgers State Univ, Piscataway, NJ 08854 USA
[2] Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA
来源：
OPERATIONS RESEARCH LETTERS | 2006年 / 34卷 / 06期
基金：
美国国家科学基金会;
关键词：
stochastic programming; stochastic dominance; valid inequalities; disjunctive programming;
D O I：
10.1016/j.orl.2005.10.004
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (c) 2005 Published by Elsevier B.V.
引用
收藏
页码：653 / 659
页数：7
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