A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints

DOI10.1007/S11590-016-1095-4MaRDI QIDQ1670530zbMATH OpenOpenAlexFDO

Authors Sarah Yini Gao, Jie Sun, Soon-Yi Wu

Publication date 5 September 2018

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-016-1095-4

zbMATH Keywords

stochastic programmingsemi-infinite optimization

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Semi-infinite programming (90C34)

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Cites work

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• scientific article; zbMATH DE number 3465097 (Why is no real title available?)
• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• A Linear Decision-Based Approximation Approach to Stochastic Programming
• Adjustable robust solutions of uncertain linear programs
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• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• Generalized Chebyshev Bounds via Semidefinite Programming
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Models and algorithms for distributionally robust least squares problems
• Models for minimax stochastic linear optimization problems with risk aversion
• On general minimax theorems
• Robust tracking error portfolio selection with worst-case downside risk measures
• The minimax approach to stochastic programming and an illustrative application
• Two-stage stochastic linear programs with incomplete information on uncertainty

Cited in

(8)

• Quadratic two-stage stochastic optimization with coherent measures of risk
• Distributionally robust \(L_1\)-estimation in multiple linear regression
• A class of two-stage distributionally robust games
• Linear conic and two-stage stochastic optimization revisited via semi-infinite optimization
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
• Robust two-stage stochastic linear programs with moment constraints
• Recent contributions to linear semi-infinite optimization
• Recent contributions to linear semi-infinite optimization: an update

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