A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse

• 成果类型: Article
• 署名作者: Gollmer, Ralf; Gotzes, Uwe; Schultz, Ruediger
• 署名单位: University of Duisburg Essen
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-009-0270-0
• 发表日期: 2011
• 页码: 179-190
• 关键词: optimization problems; DECOMPOSITION

摘要

We introduce stochastic integer programs with second-order dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is derived. For discrete probability measures, large-scale, block-structured, mixed-integer linear programming equivalents to the dominance constrained stochastic programs are identified. For these models, a decomposition algorithm is proposed and tested with instances from power optimization.