A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse

Autor:	Rüdiger Schultz, Uwe Gotzes, Ralf Gollmer
Rok vydání:	2009
Předmět:	Constraint (information theory) Mathematical optimization General Mathematics Mathematik Stochastic dominance Probability distribution Partially ordered set Integer programming Software Stochastic programming Mathematics Probability measure Integer (computer science)
Zdroj:	Mathematical Programming. 126:179-190
ISSN:	1436-4646 0025-5610
DOI:	10.1007/s10107-009-0270-0
Popis:	We introduce stochastic integer programs with second-order dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is derived. For discrete probability measures, large-scale, block-structured, mixed- integer linear programming equivalents to the dominance constrained stochastic programs are identified. For these models, a decomposition algorithm is proposed and tested with instances from power optimization.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d36452ab593892459d2581e6110881d https://doi.org/10.1007/s10107-009-0270-0 Zobrazit plný text záznamu Full text from SpringerLink