We consider the two-stage stochastic linear programming model, in which the recourse function is a worst case expected value over a set of probabilistic distributions. These distributions share the same first- and second-order moments. By using duality of semi-infinite programming and assuming knowledge on extreme points of the dual polyhedron of the constraints, we show that a deterministic equivalence of the two-stage problem is a second-order cone optimization problem. Numerical examples are presented to show non-conservativeness and computational advantage of this approach.
stochastic programming, second-order cone optimization
Operations and Supply Chain Management | Operations Research, Systems Engineering and Industrial Engineering
Taylor & Francis: STM, Behavioural Science and Public Health Titles
GAO, Sarah Yini; KONG, Lingchen; and SUN, Jie.
Robust two-stage stochastic linear programs with moment constraints. (2014). Optimization. 63, (6), 829-837. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/5154
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