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|Title:||Two-stage stochastic linear programs with incomplete information on uncertainty||Authors:||Ang, J.
|Keywords:||Linear decision rule
Second order cone optimization
|Issue Date:||16-Feb-2014||Citation:||Ang, J., Meng, F., Sun, J. (2014-02-16). Two-stage stochastic linear programs with incomplete information on uncertainty. European Journal of Operational Research 233 (1) : 16-22. ScholarBank@NUS Repository. https://doi.org/10.1016/j.ejor.2013.07.039||Abstract:||Two-stage stochastic linear programming is a classical model in operations research. The usual approach to this model requires detailed information on distribution of the random variables involved. In this paper, we only assume the availability of the first and second moments information of the random variables. By using duality of semi-infinite programming and adopting a linear decision rule, we show that a deterministic equivalence of the two-stage problem can be reformulated as a second-order cone optimization problem. Preliminary numerical experiments are presented to demonstrate the computational advantage of this approach. © 2013 Elsevier B.V. All rights reserved.||Source Title:||European Journal of Operational Research||URI:||http://scholarbank.nus.edu.sg/handle/10635/114914||ISSN:||03772217||DOI:||10.1016/j.ejor.2013.07.039|
|Appears in Collections:||Staff Publications|
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