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An Alternative Formulation for Optimization under Stochastic Dominance Constraints

In: Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming

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  • Uwe Gotzes

Abstract

In [74], a novel formulation for first- and second order stochastic dominance is introduced. In this chapter we discuss relevant conclusions for our framework and advanced algorithmic perspectives. The theory in [74] is developed in a maximization setting, where larger outcomes of the random variables are preferred to smaller outcomes. The results presented in [74] imply the following proposition for our specific random variables originating from mixed-integer value functions. In Proposition 6.1 we start out from a maximization setting before we switch to the preference of smaller outcomes.

Suggested Citation

  • Uwe Gotzes, 2009. "An Alternative Formulation for Optimization under Stochastic Dominance Constraints," Springer Books, in: Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming, chapter 0, pages 73-78, Springer.
    • Handle: RePEc:spr:sprchp:978-3-8348-9991-0_6
    DOI: 10.1007/978-3-8348-9991-0_6
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