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作者:

Wu, Chenchen (Wu, Chenchen.) | Xu, Dachuan (Xu, Dachuan.) (学者:徐大川) | Zhang, Jiawei (Zhang, Jiawei.)

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CPCI-S EI Scopus SCIE

摘要:

In this paper, we present a bilinear second-order cone programming safe approximation for the distributionally robust chance constrained program (DRCCP), assuming that the support of the uncertain parameters, and the first and second marginal moments of the probability with respect to the interval constraint imposed on the sum of the uncertain parameters are given. If we further know the covariance matrix, we can obtain a bilinear semi-definite programming safe approximation. Preliminary numerical tests indicate that the proposed models are competitive.

关键词:

chance constrained program distributionally robust optimization safe approximation Second-order cone programming semi-definite programming

作者机构:

  • [ 1 ] [Wu, Chenchen]Tianjin Univ Technol, Coll Sci, Tianjin 300384, Peoples R China
  • [ 2 ] [Xu, Dachuan]Beijing Univ Technol, Dept Informat & Operat Res, Beijing 100124, Peoples R China
  • [ 3 ] [Zhang, Jiawei]NYU, Stern Sch Business, New York, NY USA

通讯作者信息:

  • 徐大川

    [Xu, Dachuan]Beijing Univ Technol, Dept Informat & Operat Res, Beijing 100124, Peoples R China

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来源 :

ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH

ISSN: 0217-5959

年份: 2015

期: 1

卷: 32

1 . 4 0 0

JCR@2022

ESI学科: ENGINEERING;

ESI高被引阀值:114

JCR分区:4

中科院分区:4

被引次数:

WoS核心集被引频次: 3

SCOPUS被引频次: 4

ESI高被引论文在榜: 0 展开所有

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