期刊
OPTIMIZATION LETTERS
卷 12, 期 6, 页码 1237-1247出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s11590-016-1095-4
关键词
Semi-infinite optimization; Stochastic programming
资金
- Provost Chair Fund at National University of Singapore
- Australian Research Council [DP160102819]
We consider distributionally robust two-stage stochastic linear optimization problems with higher-order (say and even possibly irrational) moment constraints in their ambiguity sets. We suggest to solve the dual form of the problem by a semi-infinite programming approach, which deals with a much simpler reformulation than the conic optimization approach. Some preliminary numerical results are reported.
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