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 o...

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Vydáno v:	Mathematical programming Ročník 114; číslo 2; s. 249 - 275
Hlavní autoři:	Noyan, Nilay, Ruszczyński, Andrzej
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer-Verlag 01.08.2008 Springer Springer Nature B.V
Témata:	Algorithms Applied sciences Calculus of Variations and Optimal Control; Optimization Combinatorics Decision theory Exact sciences and technology Expected values Flows in networks. Combinatorial problems Full Length Paper Linear programming Mathematical and Computational Physics Mathematical Methods in Physics Mathematical programming Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Operational research and scientific management Operational research. Management science Optimization Portfolio theory Probability Random variables Restrictions Risk theory. Actuarial science Stochastic models Studies Theoretical Stochastic dominance Valid inequalities Disjunctive cuts Stochastic programming Conditional value at risk Stochastic model Combinatorial problem Financial management Combinatorial optimization Modeling Zero one programming Economic theory Disjunctive form Discrete programming Convexity Mathematical programming Statistical analysis Probabilistic approach Mixed programming Linear programming Risk analysis Cut generation Constrained optimization Stochastic programming .Stochastic dominance .Valid inequalities .Disjunctive cuts .Conditional value at risk Decision theory Heuristic method Risk management Portfolio management
ISSN:	0025-5610, 1436-4646
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