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dc.contributor.authorYu, H.
dc.contributor.authorSun, Jie
dc.date.accessioned2023-03-09T08:01:27Z
dc.date.available2023-03-09T08:01:27Z
dc.date.issued2021
dc.identifier.citationYu, H. and Sun, J. 2021. Robust Stochastic Optimization With Convex Risk Measures: A Discretized Subgradient Scheme. Journal of Industrial and Management Optimization. 17 (1): pp. 81-99.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/90790
dc.identifier.doi10.3934/jimo.2019100
dc.description.abstract

We study the distributionally robust stochastic optimization problem within a general framework of risk measures, in which the ambiguity set is described by a spectrum of practically used probability distribution constraints such as bounds on mean-deviation and entropic value-at-risk. We show that a subgradient of the objective function can be obtained by solving a Finite-dimensional optimization problem, which facilitates subgradient-type algorithms for solving the robust stochastic optimization problem. We develop an algorithm for two-stage robust stochastic programming with conditional value at risk measure. A numerical example is presented to show the effectiveness of the proposed method.

dc.languageEnglish
dc.publisherAMER INST MATHEMATICAL SCIENCES-AIMS
dc.relation.sponsoredbyhttp://purl.org/au-research/grants/arc/DP160102819
dc.subjectScience & Technology
dc.subjectTechnology
dc.subjectPhysical Sciences
dc.subjectEngineering, Multidisciplinary
dc.subjectOperations Research & Management Science
dc.subjectMathematics, Interdisciplinary Applications
dc.subjectEngineering
dc.subjectMathematics
dc.subjectStochastic optimization
dc.subjectdistributionally robust
dc.subjectconvex risk measure
dc.subjectsubgradient method
dc.subjecttwo-stage optimization problem
dc.subjectLINEAR OPTIMIZATION
dc.subjectPROGRAMS
dc.subjectMODELS
dc.titleRobust Stochastic Optimization With Convex Risk Measures: A Discretized Subgradient Scheme
dc.typeJournal Article
dcterms.source.volume17
dcterms.source.number1
dcterms.source.startPage81
dcterms.source.endPage99
dcterms.source.issn1547-5816
dcterms.source.titleJournal of Industrial and Management Optimization
dc.date.updated2023-03-09T08:01:26Z
curtin.departmentSchool of Elec Eng, Comp and Math Sci (EECMS)
curtin.accessStatusFulltext not available
curtin.facultyFaculty of Science and Engineering
curtin.contributor.orcidSun, Jie [0000-0001-5611-1672]
curtin.contributor.researcheridSun, Jie [B-7926-2016] [G-3522-2010]
dcterms.source.eissn1553-166X
curtin.contributor.scopusauthoridSun, Jie [16312754600] [57190212842]


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