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A note on distributionally robust optimization under moment uncertainty

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Indexed by:期刊论文
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.
Date of Publication:2018-09-01

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