Tractable reformulations of two-stage distributionally robust linear programs over the type-∞ Wasserstein ball.
Weijun XiePublished in: Oper. Res. Lett. (2020)
Keyphrases
- linear program
- stochastic programming
- linear programming
- semi infinite
- np hard
- simplex method
- robust optimization
- column generation
- mixed integer
- dynamic programming
- optimal solution
- interior point methods
- interior point
- objective function
- primal dual
- convex functions
- multistage
- machine learning
- linear inequalities
- multistage stochastic
- pointwise
- extreme points
- mixed integer linear program
- linear programming problems
- reinforcement learning
- simplex algorithm
- simulated annealing
- special case
- lower bound
- computational complexity