期刊
OPERATIONS RESEARCH LETTERS
卷 44, 期 1, 页码 6-11出版社
ELSEVIER
DOI: 10.1016/j.orl.2015.10.006
关键词
Distributionally robust optimization; Integer programming; Two-stage problems
资金
- Swiss National Science Foundation [BSCGI0_157733]
- EPSRC [EP/M028240/1, EP/M027856/1]
- Engineering and Physical Sciences Research Council [EP/M028240/1, EP/M027856/1] Funding Source: researchfish
We propose to approximate two-stage distributionally robust programs with binary recourse decisions by their associated K-adaptability problems, which pre-select K candidate second-stage policies here and-now and implement the best of these policies once the uncertain parameters have been observed. We analyze the approximation quality and the computational complexity of the K-adaptability problem, and we derive explicit mixed-integer linear programming reformulations. We also provide efficient procedures for bounding the probabilities with which each of the K second-stage policies is selected. (C) 2015 Elsevier B.V. All rights reserved.
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