A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints

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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...

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Bibliographic Details
Main Authors:	Gao, S., Sun, Jie, Wu, S.
Format:	Journal Article
Published:	Springer Verlag 2016
Online Access:	http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52445

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