Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
From MaRDI portal
Publication:3629506
DOI10.1137/060678051zbMath1173.90490MaRDI QIDQ3629506
Rüdiger Schultz, Ralf Gollmer, Frederike Neise
Publication date: 27 May 2009
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/9028
60E15: Inequalities; stochastic orderings
90C11: Mixed integer programming
90C15: Stochastic programming
Related Items
Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints, Medium range optimization of copper extraction planning under uncertainty in future copper prices, On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs, An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management, Scenario cluster decomposition of the Lagrangian dual in two-stage stochastic mixed 0-1 optimization, Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse, On air traffic flow management with rerouting. II: Stochastic case, A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse, Robust stochastic dominance and its application to risk-averse optimization, An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse, Risk aversion for an electricity retailer with second-order stochastic dominance constraints, Risk-averse two-stage stochastic programs in furniture plants, The design of robust value-creating supply chain networks, Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints, Two-stage stochastic mixed integer optimization models for power generation capacity expansion with risk measures
Uses Software