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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Gollmer, R., Gotzes, U. & Schultz, R. A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse. Math. Program. 126, 179–190 (2011). https://doi.org/10.1007/s10107-009-0270-0
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DOI: https://doi.org/10.1007/s10107-009-0270-0