Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Speaker:
李彬 研究员, 四川大学电气信息学院
Inviter:
Title:
A Model of Distributionally Robust Two-Stage Stochastic Convex Programming with Linear Recourse
Time & Venue:
2018.6.26 16:30-17:30 Z311
Abstract:
In this talk, we consider distributionally robust two-stage stochastic convex programming problems, in which the recourse problem is linear (DR-TSCP-LR for short). Other than analyzing these new models case by case for different ambiguity sets, we adopt a unified form of ambiguity sets proposed by Wiessmann, Kuhn and Sim, and extend their analysis from a single stochastic constraint to DR-TSCP-LR. Numerical results are presented to show the applicability of the distributionally robust approach.