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

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A note on distributionally robust optimization under moment uncertainty

发表时间:2019-03-12 点击次数:

论文名称:A note on distributionally robust optimization under moment uncertainty
论文类型:期刊论文
第一作者:Liu, Qiang
通讯作者:Xiao, XT (reprint author), Dalian Univ Technol, Sch Math Sci, Dalian, Peoples R China.
合写作者:Wu, Jia,Xiao, Xiantao,Zhang, Liwei
发表刊物:JOURNAL OF NUMERICAL MATHEMATICS
收录刊物:SCIE
卷号:26
期号:3
页面范围:141-150
ISSN号:1570-2820
关键字:distributionally robust optimization; ambiguity set; tractable optimization reformulation; smoothing Newton conjugate gradient method
摘要:We considers a distributionally robust optimization problem when the ambiguity set specifies the support as well as the mean and the covariance matrix of the uncertain parameters. After deriving a general deterministic reformulation for the distributionally robust optimization problem, we obtain tractable optimization reformulations when the support set is the whole space and when it is a convex polyhedral set. A hybrid method of Gurobi and a smoothing Newton conjugate gradient method is suggested to solve the tractable optimization problems and numerical results of the hybrid method for solving an illustrative example are reported.
发表时间:2018-09-01