A model of distributionally robust two-stage stochastic convex programming with linear recourse

被引：32
|
作者：
Li, Bin [1 ]
Qian, Xun [2 ]
Sun, Jie [3 ]
Teo, Kok Lay [4 ]
Yu, Changjun [5 ]
机构：
[1] Sichuan Univ, Sch Elect Engn & Informat, Chengdu, Sichuan, Peoples R China
[2] Hong Kong Baptist Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
[3] Chongqing Normal Univ, Sch Math Sci, Chongqing, Peoples R China
[4] Curtin Univ, Dept Math & Stat, Perth, WA, Australia
[5] Shanghai Univ, Dept Math, Shanghai, Peoples R China
来源：
APPLIED MATHEMATICAL MODELLING | 2018年 / 58卷
基金：
中国国家自然科学基金; 澳大利亚研究理事会;
关键词：
Conic optimization; Duality; Stochastic programming; OPTIMIZATION; UNCERTAINTY;
D O I：
10.1016/j.apm.2017.11.039
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
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. (C) 2017 Elsevier Inc. All rights reserved.
引用
收藏
页码：86 / 97
页数：12
相关论文
共 50 条
  • [1] DISTRIBUTIONALLY ROBUST TWO-STAGE STOCHASTIC PROGRAMMING
    Duque, Daniel
    Mehrotra, Sanjay
    MORTON, DAVID P.
    [J]. SIAM Journal on Computing, 2022, 51 (04) : 1499 - 1522
  • [2] DISTRIBUTIONALLY ROBUST TWO-STAGE STOCHASTIC PROGRAMMING
    Duque, Daniel
    Mehrotra, Sanjay
    Morton, David P.
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2022, 32 (03) : 1499 - 1522
  • [3] A novel approach for two-stage Stochastic linear programming with recourse
    Sohn, Lan-Sulk
    Bricker, Dennis L.
    Lai, Ming-Che
    [J]. WMSCI 2006: 10TH WORLD MULTI-CONFERENCE ON SYSTEMICS, CYBERNETICS AND INFORMATICS, VOL VI, PROCEEDINGS, 2006, : 192 - +
  • [4] A two-stage stochastic programming with recourse model for determining robust planting plans in horticulture
    Darby-Dowman, K
    Barker, S
    Audsley, E
    Parsons, D
    [J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2000, 51 (01) : 83 - 89
  • [5] Response surface analysis two-stage stochastic linear programming with recourse
    Bailey, TG
    Jensen, PA
    Morton, DP
    [J]. NAVAL RESEARCH LOGISTICS, 1999, 46 (07) : 753 - 776
  • [6] STOCHASTIC DECOMPOSITION METHOD FOR TWO-STAGE DISTRIBUTIONALLY ROBUST LINEAR OPTIMIZATION
    Gangammanavar, Harsha
    Bansal, Manish
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2022, 32 (03) : 1901 - 1930
  • [7] Two-Stage Stochastic Convex Programming with Linear Partial Information
    Ma, Xinshun
    Shi, Tongju
    [J]. INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS, 2014, 52 (06): : 71 - 79
  • [8] AUGMENTED LAGRANGIAN METHOD FOR RECOURSE PROBLEM OF TWO-STAGE STOCHASTIC LINEAR PROGRAMMING
    Ketabchi, Saeed
    Behboodi-Kahoo, Malihe
    [J]. KYBERNETIKA, 2013, 49 (01) : 188 - 198
  • [9] Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
    Xiaojun Chen
    Hailin Sun
    Huifu Xu
    [J]. Mathematical Programming, 2019, 177 : 255 - 289
  • [10] Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
    Chen, Xiaojun
    Sun, Hailin
    Xu, Huifu
    [J]. MATHEMATICAL PROGRAMMING, 2019, 177 (1-2) : 255 - 289
12345