肖现涛

个人信息Personal Information

教授

博士生导师

硕士生导师

性别:男

毕业院校:大连理工大学

学位:博士

所在单位:数学科学学院

办公地点:海山楼(大黑楼)B1107

电子邮箱:xtxiao@dlut.edu.cn

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A note on distributionally robust optimization under moment uncertainty

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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

发表时间:2018-09-01

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.