An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
نویسندگان
چکیده
منابع مشابه
Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish closedness of the constraint set mapping with the underlying probability measure as parameter. In the case of finite probability spaces, the models are shown to be equivalent to large-scale, block-structured, mixedinteger...
متن کاملA note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
We introduce stochastic integer programs with 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 id...
متن کاملElectricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints
This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...
متن کاملSafe Approximation for Optimization with First Order Stochastic Dominance Constraints
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 A...
متن کاملStability analysis of stochastic programs with second order dominance constraints
In this paper we present stability analysis of a stochastic optimization problem with stochastic second order dominance constraints. We consider perturbation of the underlying probability measure in the space of regular measures equipped with pseudometric discrepancy distance ( [36]). By exploiting a result on error bound in semi-infinite programming due to Gugat [14], we show under the Slater ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Discrete Applied Mathematics
سال: 2010
ISSN: 0166-218X
DOI: 10.1016/j.dam.2009.07.008