Robust two-stage stochastic linear programs with moment constraints

• Main Authors: GAO, Sarah Yini, KONG, Lingchen, SUN, Jie
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2014
• 主題: stochastic programming; second-order cone optimization; Operations and Supply Chain Management; Operations Research, Systems Engineering and Industrial Engineering
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/5154; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6153/viewcontent/RobustTwoStageStochastic_2014.pdf
• 機構: 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 knowl...