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 |
| _version_ | 1848758928103440384 |
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| author | Gao, S. Sun, Jie Wu, S. |
| author_facet | Gao, S. Sun, Jie Wu, S. |
| author_sort | Gao, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 deals with a much simpler reformulation than the conic optimization approach. Some preliminary numerical results are reported. |
| first_indexed | 2025-11-14T09:51:46Z |
| format | Journal Article |
| id | curtin-20.500.11937-52445 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:51:46Z |
| publishDate | 2016 |
| publisher | Springer Verlag |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-524452023-06-07T07:46:19Z A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints Gao, S. Sun, Jie Wu, S. 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 deals with a much simpler reformulation than the conic optimization approach. Some preliminary numerical results are reported. 2016 Journal Article http://hdl.handle.net/20.500.11937/52445 10.1007/s11590-016-1095-4 http://purl.org/au-research/grants/arc/DP160102819 Springer Verlag fulltext |
| spellingShingle | Gao, S. Sun, Jie Wu, S. A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| title | A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| title_full | A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| title_fullStr | A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| title_full_unstemmed | A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| title_short | A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| title_sort | semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints |
| url | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52445 |