张立卫Liwei Zhang

(教授)

 博士生导师  硕士生导师
学位:博士
性别:男
毕业院校:大连理工大学
所在单位:数学科学学院
电子邮箱:lwzhang@dlut.edu.cn

论文成果

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Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints

发表时间:2019-03-10 点击次数:

论文名称:Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints
论文类型:期刊论文
第一作者:Guo, Shaoyan
通讯作者:Xu, HF (reprint author), Univ Southampton, Sch Math, Southampton SO17 1BJ, Hants, England.; Xu, HF (reprint author), Dalian Univ Technol, Dalian, Peoples R China.
合写作者:Xu, Huifu,Zhang, Liwei
发表刊物:17th British-French-German Conference on Optimization
收录刊物:SCIE、CPCI-S
卷号:32
期号:4,SI
页面范围:770-789
ISSN号:1055-6788
关键字:second-order dominance; probability discretization; Kantorovich metric; stabilityanalysis
摘要:Since the pioneering work by Dentcheva and Ruszczyski [Optimization with stochastic dominance constraints, SIAM J. Optim. 14 (2003), pp. 548-566], stochastic programs with second-order dominance constraints (SPSODC) have received extensive discussions over the past decade from theory of optimality to numerical schemes and practical applications. In this paper, we investigate discrete approximation of SPSODC when (a) the true probability is known but continuously distributed and (b) the true probability distribution is unknown but it lies within an ambiguity set of distributions. Differing from the well-known Monte Carlo discretization method, we propose a deterministic discrete approximation scheme due to Pflug and Pichler [Approximations for Probability Distributions and Stochastic Optimization Problems, International Series in Operations Research & Management Science, Vol. 163, Springer, New York, 2011, pp. 343-387] and demonstrate that the discrete probability measure and the ambiguity set of discrete probability measures approximate their continuous counterparts under the Kantorovich metric. Stability analysis of the optimal value and optimal solutions of the resulting discrete optimization problems is presented and some comparative numerical test results are reported.
发表时间:2017-01-01