Relaxations of linear programming problems with first order stochastic dominance constraints
نویسندگان
چکیده
منابع مشابه
Relaxations of linear programming problems with first order stochastic dominance constraints
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 rel...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2006
ISSN: 0167-6377
DOI: 10.1016/j.orl.2005.10.004