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Robust Two-Stage Stochastic Linear Programs With Moment Constraints, Sarah Yini Gao, Lingchen Kong, Jie Sun
Robust Two-Stage Stochastic Linear Programs With Moment Constraints, Sarah Yini Gao, Lingchen Kong, Jie Sun
Research Collection Lee Kong Chian School Of Business
We consider the two-stage stochastic linear programming model, in which the recourse function is a worst case expected value over a set of probabilistic distributions. These distributions share the same first- and second-order moments. By using duality of semi-infinite programming and assuming knowledge on extreme points of the dual polyhedron of the constraints, we show that a deterministic equivalence of the two-stage problem is a second-order cone optimization problem. Numerical examples are presented to show non-conservativeness and computational advantage of this approach.