Robust two-stage stochastic linear programs with moment constraints

DOI10.1080/02331934.2014.906598zbMath1291.90108OpenAlexW1998128239MaRDI QIDQ5169460

Sarah Yini Gao, Lingchen Kong, Jie Sun

Publication date: 10 July 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/47589

zbMATH Keywords

stochastic programmingsecond-order cone optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

Related Items (7)

Quadratic two-stage stochastic optimization with coherent measures of risk ⋮ A class of two-stage distributionally robust games ⋮ A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure ⋮ Robust stochastic optimization with convex risk measures: a discretized subgradient scheme ⋮ A model of distributionally robust two-stage stochastic convex programming with linear recourse ⋮ Distributionally robust \(L_1\)-estimation in multiple linear regression ⋮ A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems

Cites Work

• Two-stage stochastic linear programs with incomplete information on uncertainty
• On general minimax theorems
• Robust optimization-methodology and applications
• Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
• Variational Analysis

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