Safe Approximation for Optimization with First Order Stochastic Dominance Constraints
نویسندگان
چکیده
Recently, there has been a significant interest in introducing stochastic dominance relations as constraints into stochastic optimization problems. Optimization with first order stochastic dominance constraints in discrete distribution case can be formulated as mixed integer programs. In this article, we present a method to safely approximate such kinds of mixed integer programs. © 2009 World Academic Press, UK. All rights reserved.
منابع مشابه
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
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