Robust two-stage stochastic linear programs with moment constraints

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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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Bibliographic Details
Main Authors:	Gao, S., Kong, L., Sun, Jie
Format:	Journal Article
Published:	Taylor & Francis Ltd. 2014
Subjects:	stochastic programming second-order cone optimization
Online Access:	http://hdl.handle.net/20.500.11937/47589

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