|edoc-Server der Humboldt-Universität zu Berlin|
Ralf Gollmer, University of Duisburg-Essen|
Uwe Gotzes, University of Duisburg-Essen
Rüdiger Schultz, University of Duisburg-Essen
|Title:||Second-Order Stochastic 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:11-10078091)|
|Keywords (eng):||stochastic dominance, stochastic integer programming, mixed integer optimization|
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|We introduce stochastic integer programs with 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. Computational tests with instances from power optimization and Sudoku puzzling conclude the paper.|
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