An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse

DOI10.1016/j.dam.2009.07.008zbMath1185.90160OpenAlexW2008651619MaRDI QIDQ968143

Rüdiger Schultz, Dimitri Drapkin

Publication date: 5 May 2010

Published in: Discrete Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.dam.2009.07.008

zbMATH Keywords

stochastic integer programmingstochastic dominancemixed-integer optimization

Mathematics Subject Classification ID

Integer programming (90C10) Mixed integer programming (90C11) Stochastic programming (90C15)

Related Items (12)

Optimization with a class of multivariate integral stochastic order constraints ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Optimization with Reference-Based Robust Preference Constraints ⋮ Sample average approximation of stochastic dominance constrained programs ⋮ Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse ⋮ Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation ⋮ First-order dominance: stronger characterization and a bivariate checking algorithm ⋮ Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ Risk aversion for an electricity retailer with second-order stochastic dominance constraints ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

Uses Software

• CPLEX
• DDSIP

Cites Work

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• A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
• Relaxations of linear programming problems with first order stochastic dominance constraints
• Partitioning procedures for solving mixed-variables programming problems
• Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
• Applying the minimum risk criterion in stochastic recourse programs
• Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
• Introduction to Stochastic Programming
• Optimization with Stochastic Dominance Constraints
• Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints

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