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Author:

Wu, Chenchen (Wu, Chenchen.) | Xu, Dachuan (Xu, Dachuan.) (Scholars:徐大川) | Zhang, Jiawei (Zhang, Jiawei.)

Indexed by:

CPCI-S EI Scopus SCIE

Abstract:

In this paper, we present a bilinear second-order cone programming safe approximation for the distributionally robust chance constrained program (DRCCP), assuming that the support of the uncertain parameters, and the first and second marginal moments of the probability with respect to the interval constraint imposed on the sum of the uncertain parameters are given. If we further know the covariance matrix, we can obtain a bilinear semi-definite programming safe approximation. Preliminary numerical tests indicate that the proposed models are competitive.

Keyword:

chance constrained program semi-definite programming safe approximation Second-order cone programming distributionally robust optimization

Author Community:

  • [ 1 ] [Wu, Chenchen]Tianjin Univ Technol, Coll Sci, Tianjin 300384, Peoples R China
  • [ 2 ] [Xu, Dachuan]Beijing Univ Technol, Dept Informat & Operat Res, Beijing 100124, Peoples R China
  • [ 3 ] [Zhang, Jiawei]NYU, Stern Sch Business, New York, NY USA

Reprint Author's Address:

  • 徐大川

    [Xu, Dachuan]Beijing Univ Technol, Dept Informat & Operat Res, Beijing 100124, Peoples R China

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Source :

ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH

ISSN: 0217-5959

Year: 2015

Issue: 1

Volume: 32

1 . 4 0 0

JCR@2022

ESI Discipline: ENGINEERING;

ESI HC Threshold:174

JCR Journal Grade:4

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count: 3

SCOPUS Cited Count: 4

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 6

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