Robust two-stage stochastic linear programs with moment constraints

Robust two-stage stochastic linear programs with moment constraints

We consider the two-stage stochastic linear programming model, in which the recourse function is a worst case expected value over a set of probabilistic distributions. These distributions share the same first- and second-order moments. By using duality of semi-infinite programming and assuming knowl...

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Bibliographic Details
Main Authors: GAO, Sarah Yini, KONG, Lingchen, SUN, Jie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
stochastic programming
second-order cone optimization
Operations and Supply Chain Management
Operations Research, Systems Engineering and Industrial Engineering
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5154
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6153/viewcontent/RobustTwoStageStochastic_2014.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/5154
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6153/viewcontent/RobustTwoStageStochastic_2014.pdf

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