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 |
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Taylor & Francis Ltd.
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/47589 |
| _version_ | 1848757874255200256 |
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| author | Gao, S. Kong, L. Sun, Jie |
| author_facet | Gao, S. Kong, L. Sun, Jie |
| author_sort | Gao, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:35:01Z |
| format | Journal Article |
| id | curtin-20.500.11937-47589 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:35:01Z |
| publishDate | 2014 |
| publisher | Taylor & Francis Ltd. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-475892017-09-13T14:19:01Z Robust two-stage stochastic linear programs with moment constraints Gao, S. Kong, L. Sun, Jie stochastic programming second-order cone optimization 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. 2014 Journal Article http://hdl.handle.net/20.500.11937/47589 10.1080/02331934.2014.906598 Taylor & Francis Ltd. fulltext |
| spellingShingle | stochastic programming second-order cone optimization Gao, S. Kong, L. Sun, Jie Robust two-stage stochastic linear programs with moment constraints |
| title | Robust two-stage stochastic linear programs with moment constraints |
| title_full | Robust two-stage stochastic linear programs with moment constraints |
| title_fullStr | Robust two-stage stochastic linear programs with moment constraints |
| title_full_unstemmed | Robust two-stage stochastic linear programs with moment constraints |
| title_short | Robust two-stage stochastic linear programs with moment constraints |
| title_sort | robust two-stage stochastic linear programs with moment constraints |
| topic | stochastic programming second-order cone optimization |
| url | http://hdl.handle.net/20.500.11937/47589 |