Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
نویسندگان
چکیده
منابع مشابه
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
Stochastic dominance relations are well-studied in statistics, decision theory and economics. Recently, there has been significant interest in introducing dominance relations into stochastic optimization problems as constraints. In the discrete case, stochastic optimization models involving second order stochastic dominance (SSD) constraints can be solved by linear programming (LP). However, pr...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2007
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-007-0100-1