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A model of distributionally robust two-stage stochastic convex programming with linear recourse.
- Source :
-
Applied Mathematical Modelling . Jun2018, Vol. 58, p86-97. 12p. - Publication Year :
- 2018
-
Abstract
- We consider distributionally robust two-stage stochastic convex programming problems, in which the recourse problem is linear. Other than analyzing these new models case by case for different ambiguity sets, we adopt a unified form of ambiguity sets proposed by Wiesemann, Kuhn and Sim, and extend their analysis from a single stochastic constraint to the two-stage stochastic programming setting. It is shown that under a standard set of regularity conditions, this class of problems can be converted to a conic optimization problem. Numerical results are presented to show the efficiency of the distributionally robust approach. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0307904X
- Volume :
- 58
- Database :
- Academic Search Index
- Journal :
- Applied Mathematical Modelling
- Publication Type :
- Academic Journal
- Accession number :
- 128719485
- Full Text :
- https://doi.org/10.1016/j.apm.2017.11.039