A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
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.
stochastic dominance stochastic integer programming mixed-integer optimization