吴佳

Professor   Supervisor of Doctorate Candidates   Supervisor of Master's Candidates

Gender:Female

Alma Mater:大连理工大学

Degree:Doctoral Degree

School/Department:数学科学学院

Discipline:Operation Research and Control Theory

Business Address:创新园大厦B1207

E-Mail:wujia@dlut.edu.cn


Paper Publications

A note on distributionally robust optimization under moment uncertainty

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Indexed by:期刊论文

Date of Publication:2018-09-01

Journal:JOURNAL OF NUMERICAL MATHEMATICS

Included Journals:SCIE

Volume:26

Issue:3

Page Number:141-150

ISSN No.:1570-2820

Key Words:distributionally robust optimization; ambiguity set; tractable optimization reformulation; smoothing Newton conjugate gradient method

Abstract: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.

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