期刊
APPLIED MATHEMATICAL MODELLING
卷 36, 期 10, 页码 5122-5134出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.apm.2011.12.053
关键词
Conic programming; Stochastic programming; Second-order cone programming; Optimization models
资金
- US Army Research Office [W911NF-08-1-0530]
Second-order cone programs are a class of convex optimization problems. We refer to them as deterministic second-order cone programs (DSCOPs) since data defining them are deterministic. In DSOCPs we minimize a linear objective function over the intersection of an affine set and a product of second-order (Lorentz) cones. Stochastic programs have been studied since 1950s as a tool for handling uncertainty in data defining classes of optimization problems such as linear and quadratic programs. Stochastic second-order cone programs (SSOCPs) with recourse is a class of optimization problems that defined to handle uncertainty in data defining DSOCPs. In this paper we describe four application models leading to SSOCPs. (C) 2011 Elsevier Inc. All rights reserved.
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