|edoc-Server der Humboldt-Universität zu Berlin|
Ralf Gollmer, University of Duisburg-Essen|
Frederike Neise, University of Duisburg-Essen
Rüdiger Schultz, University of Duisburg-Essen
|Title:||Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse|
|Date of Acceptance:||03.06.2007|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10078078)|
|Keywords (eng):||stochastic dominance, Stochastic integer programming, mixed-integer optimization|
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|We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish closedness of the constraint set mapping with the underlying probability measure as parameter. In the case of ﬁnite probability spaces, the models are shown to be equivalent to large-scale, block-structured, mixed-integer linear programs. We propose a decomposition algorithm for the latter and discuss preliminary computational results.|
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