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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.