Relaxations of linear programming problems with first order stochastic dominance constraints |
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| Authors: | Nilay Noyan,Gá bor Rudolf |
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| Affiliation: | a RUTCOR, Rutgers University, 640 Bartholomew Rd., Piscataway, NJ 08854, USA
b Department of Management Science and Information Systems, Rutgers University, 640 Bartholomew Rd., Piscataway, NJ 08854, USA |
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| 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. |
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| Keywords: | Stochastic programming Stochastic dominance Valid inequalities Disjunctive programming |
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