A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse |
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Authors: | Ralf Gollmer Uwe Gotzes Rüdiger Schultz |
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Affiliation: | (3) Dept. Math., Gerhard-Mercator Univ., Duisburg, Germany |
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Abstract: | 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. |
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Keywords: | |
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