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

zbMath1145.90046MaRDI QIDQ927155

Ruszczyński, Andrzej, Nilay Noyan

Publication date: 4 June 2008

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

zbMATH Keywords

Stochastic programming; Valid inequalities; Stochastic dominance; Conditional value at risk; Disjunctive cuts

Mathematics Subject Classification ID

90C11: Mixed integer programming

90C15: Stochastic programming

Uses Software

• AMPL
• CPLEX