Stochastic 0-1 linear programming under limited distributional information

被引：51
|
作者：
Wagner, Michael R. [1 ]
机构：
[1] Calif State Univ Hayward, Dept Management, Hayward, CA 94542 USA
来源：
OPERATIONS RESEARCH LETTERS | 2008年 / 36卷 / 02期
关键词：
stochastic integer programming; second order cone programming; semidefinite programming;
D O I：
10.1016/j.orl.2007.07.003
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We consider the problem min(X epsilon(0, 1)n) {c'x : a'(j)x <= b(j), j = 1,..., m), where the a(j) are random vectors with unknown distributions. The only information we are given regarding the random vectors aj are their moments, up to order k. We give a robust formulation, as a function of k, for the 0-1 integer linear program under this limited distributional information. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：150 / 156
页数：7
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