Robust two-stage stochastic linear programs with moment constraints

• 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
• Institution: Singapore Management University

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 knowledge on extreme points of the dual polyhedron of the constraints, we show that a deterministic equivalence of the two-stage problem is a second-order cone optimization problem. Numerical examples are presented to show non-conservativeness and computational advantage of this approach.