A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints
We consider distributionally robust two-stage stochastic linear optimization problems with higher-order (say (Formula presented.) and even possibly irrational) moment constraints in their ambiguity sets. We suggest to solve the dual form of the problem by a semi-infinite programming approach, which...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Springer Verlag
2016
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52445 |