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    Robust two-stage stochastic linear programs with moment constraints

    199589_199589.pdf (162.2Kb)
    Access Status
    Open access
    Authors
    Gao, S.
    Kong, L.
    Sun, Jie
    Date
    2014
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Gao, S. and Kong, L. and Sun, J. 2014. Robust two-stage stochastic linear programs with moment constraints. Optimization. 63 (6): pp. 829-837.
    Source Title
    Optimization
    DOI
    10.1080/02331934.2014.906598
    ISSN
    0233-1934
    Remarks

    This is an Author's Accepted Manuscript of an article published in Optimization: A Journal of Mathematical Programming and Operations Research (2014), copyright Taylor & Francis, available online at: <a href="http://www.tandfonline.com/10.1080/02331934.2014.906598">http://www.tandfonline.com/10.1080/02331934.2014.906598</a>

    URI
    http://hdl.handle.net/20.500.11937/47589
    Collection
    • Curtin Research Publications
    Abstract

    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 knowledge on extreme points of the dual polyhedron of the constraints, we show that a deterministic equivalence of the two-stage problem is a second-order cone optimization problem. Numerical examples are presented to show non-conservativeness and computational advantage of this approach.

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