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

    52465.pdf (208.8Kb)
    Access Status
    Open access
    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.12, 1237–1247.
    Source Title
    Optimization Letters
    DOI
    10.1007/s11590-016-1095-4
    ISSN
    1862-4472
    School
    Department of Mathematics and Statistics
    Funding and Sponsorship
    http://purl.org/au-research/grants/arc/DP160102819
    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.

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