Paper Info
Title
Relaxations of linear programming problems with first order stochastic dominance constraints
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.
Year
DOI
Venue
2006
10.1016/j.orl.2005.10.004
Oper. Res. Lett.
Keywords
Field
DocType
sufficient condition,stochastic dominance,linear stochastic programming problem,disjunctive programming,order stochastic dominance constraint,linear programming formulation,linear programming problem,ssd-based relaxation,stochastic programming,order stochastic dominance,valid inequalities,disjunctive programming formulation,linear program,first order
Mathematical optimization,Combinatorics,Linear programming formulation,Disjunctive programming,Stochastic dominance,Regular polygon,Linear programming,Stochastic programming,Mathematics
Journal
Volume
Issue
ISSN
34
6
Operations Research Letters
Citations 
PageRank 
References 
18
1.17
4
Authors
3
Name
Order
Citations
PageRank
Nilay Noyan118413.93
GáBor Rudolf2967.98
Andrzej Ruszczyński379884.38