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...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Taylor & Francis Ltd.
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/47589 |