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

Stochastic dominance relations are well-studied in statistics, decision theory and economics. Recently, there has been significant interest in introducing dominance relations into stochastic optimization problems as constraints. In the discrete case, stochastic optimization models involving second order stochastic dominance (SSD) constraints can be solved by linear programming (LP). However, problems involving first order stochastic dominance (FSD) constraints are potentially hard due to the non-convexity of the associated feasible regions. In this paper we consider a mixed 0

• Type: Journal
• Year: 2008
• Where: MP
• Authors: Nilay Noyan, Andrzej Ruszczynski
• Keywords: Dominance Relations, MP 2008, Stochastic Dominance, Stochastic Optimization