Distributionally robust simple integer recourse

被引：11

作者：

Xie W. ^{[1
]}

Ahmed S. ^{[2
]}

机构：

[1] Virginia Tech, Blacksburg, VA

[2] Georgia Institute of Technology, Atlanta, GA

来源：

Computational Management Science | 2018年 / 15卷 / 3-4期

基金：

美国国家科学基金会;

关键词：

Distributionally robust; Mixed integer conic program; Stochastic integer recourse;

D O I：

10.1007/s10287-018-0313-1

中图分类号：

学科分类号：

摘要：

The simple integer recourse (SIR) function of a decision variable is the expectation of the integer round-up of the shortage/surplus between a random variable with a known distribution and the decision variable. It is the integer analogue of the simple (continuous) recourse function in two-stage stochastic linear programming. Structural properties and approximations of SIR functions have been extensively studied in the seminal works of van der Vlerk and coauthors. We study a distributionally robust SIR function (DR-SIR) that considers the worst-case expectation over a given family of distributions. Under the assumption that the distribution family is specified by its mean and support, we derive a closed form analytical expression for the DR-SIR function. We also show that this nonconvex DR-SIR function can be represented using a mixed-integer second-order conic program. © 2018, Springer-Verlag GmbH Germany, part of Springer Nature.

引用

页码：351 / 367

页数：16

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