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

dc.contributor.author	Gao, S.
dc.contributor.author	Sun, Jie
dc.contributor.author	Wu, S.
dc.date.accessioned	2017-04-28T13:58:50Z
dc.date.available	2017-04-28T13:58:50Z
dc.date.created	2017-04-28T09:06:07Z
dc.date.issued	2016
dc.identifier.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.
dc.identifier.uri	http://hdl.handle.net/20.500.11937/52445
dc.identifier.doi	10.1007/s11590-016-1095-4
dc.description.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.
dc.publisher	Springer Verlag
dc.relation.sponsoredby	http://purl.org/au-research/grants/arc/DP160102819
dc.title	A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints
dc.type	Journal Article
dcterms.source.startPage	1
dcterms.source.endPage	11
dcterms.source.issn	1862-4472
dcterms.source.title	Optimization Letters
curtin.department	Department of Mathematics and Statistics
curtin.accessStatus	Open access