A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints

DOI10.1007/s11590-016-1095-4zbMath1401.90137OpenAlexW2549100572MaRDI QIDQ1670530

Sarah Yini Gao, Soon-Yi Wu, Jie Sun

Publication date: 5 September 2018

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-016-1095-4

zbMATH Keywords

stochastic programmingsemi-infinite optimization

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Semi-infinite programming (90C34)

Related Items (6)

Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Quadratic two-stage stochastic optimization with coherent measures of risk ⋮ Recent contributions to linear semi-infinite optimization ⋮ A class of two-stage distributionally robust games ⋮ Recent contributions to linear semi-infinite optimization: an update ⋮ Distributionally robust \(L_1\)-estimation in multiple linear regression

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