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

Gao, S.; Sun, Jie; Wu, S.

doi:10.1007/s11590-016-1095-4

Access Status

Fulltext not available

Authors

Gao, S.

Sun, Jie

Wu, S.

Date

2016

Type

Journal Article

Metadata

Show full item record

Citation

Gao, S. and Sun, J. and Wu, S. 2016. A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints. Optimization Letters. In Press.

Source Title

Optimization Letters

DOI

10.1007/s11590-016-1095-4

ISSN

1862-4472

School

Department of Mathematics and Statistics

URI

http://hdl.handle.net/20.500.11937/52445

Collection

Curtin Research Publications

Abstract

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.