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论文类型：期刊论文
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.