Show simple item record

dc.contributor.authorAng, J.
dc.contributor.authorMeng, F.
dc.contributor.authorSun, Jie
dc.identifier.citationAng, J. and Meng, F. and Sun, J. 2014. Two-stage stochastic linear programs with incomplete information on uncertainty. European Journal of Operational Research. 233: pp. 16-22.

Two-stage stochastic linear programming is a classical model in operations research. The usual approach to this model requires detailed information on distribution of the random variables involved. In this paper, we only assume the availability of the first and second moments information of the random variables. By using duality of semi-infinite programming and adopting a linear decision rule, we show that a deterministic equivalence of the two-stage problem can be reformulated as a second-order cone optimization problem. Preliminary numerical experiments are presented to demonstrate the computational advantage of this approach.

dc.publisherElsevier BV * North-Holland
dc.titleTwo-stage stochastic linear programs with incomplete information on uncertainty
dc.typeJournal Article
dcterms.source.titleEuropean Journal of Operational Research

NOTICE: this is the author’s version of a work that was accepted for publication in European Journal of Operational Research Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in European Journal of Operational Research, Vol.233, (2014). DOI: 10.1016/j.ejor.2013.07.039

curtin.accessStatusOpen access

Files in this item


This item appears in the following Collection(s)

Show simple item record