Publication Type
Journal Article
Version
submittedVersion
Publication Date
6-2014
Abstract
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.
Keywords
stochastic programming, second-order cone optimization
Discipline
Operations and Supply Chain Management | Operations Research, Systems Engineering and Industrial Engineering
Research Areas
Operations Management
Publication
Optimization
Volume
63
Issue
6
First Page
829
Last Page
837
ISSN
0233-1934
Identifier
10.1080/02331934.2014.906598
Publisher
Taylor & Francis: STM, Behavioural Science and Public Health Titles
Citation
GAO, Sarah Yini; KONG, Lingchen; and SUN, Jie.
Robust two-stage stochastic linear programs with moment constraints. (2014). Optimization. 63, (6), 829-837.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5154
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/02331934.2014.906598
Included in
Operations and Supply Chain Management Commons, Operations Research, Systems Engineering and Industrial Engineering Commons