Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints

zbMath1145.90046MaRDI QIDQ927155

Nilay Noyan, Ruszczyński, Andrzej

Publication date: 4 June 2008

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

zbMATH Keywords

Stochastic programmingValid inequalitiesStochastic dominanceConditional value at riskDisjunctive cuts

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15)

Related Items (6)

Tractable almost stochastic dominance ⋮ Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse ⋮ Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation ⋮ On the fastest Vickrey algorithm ⋮ First-order dominance: stronger characterization and a bivariate checking algorithm ⋮ Stochastically weighted stochastic dominance concepts with an application in capital budgeting

Uses Software

• AMPL
• CPLEX

This page was built for publication: Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints