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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| 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 |