Relaxations of linear programming problems with first order stochastic dominance constraints
نویسندگان
چکیده
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. © 2005 Published by Elsevier B.V.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 34 شماره
صفحات -
تاریخ انتشار 2006