2007-06-03Buch DOI: 10.18452/3003
Second-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse
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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