An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management

DOI10.1016/j.cor.2014.12.007zbMath1348.90502OpenAlexW2052569040MaRDI QIDQ337504

Dolores Romero Morales, Laureano Fernando Escudero Bueno, Juan Francisco Monge

Publication date: 10 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2014.12.007

zbMATH Keywords

stochastic dynamic programmingrisk aversestochastic dominance constraintscross-scenario constraintsmultiperiod stochastic mixed 0-1 linear programming

Mathematics Subject Classification ID

Mixed integer programming (90C11) Linear programming (90C05) Stochastic programming (90C15) Dynamic programming (90C39)

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Uses Software

• CPLEX
• DDSIP

Cites Work

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