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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.
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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
Affiliated Colleges: