| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1143269 | Operations Research Letters | 2006 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Nilay Noyan, Gábor Rudolf, Andrzej Ruszczyński,