Second-order Conic Programming Approach for Wasserstein Distributionally Robust Two-stage Linear Programs.
Zhuolin WangKeyou YouShiji SongYuli ZhangPublished in: CoRR (2020)
Keyphrases
- linear program
- stochastic programming
- linear programming
- conic programming
- robust optimization
- simplex method
- primal dual
- semi infinite
- optimal solution
- mixed integer
- multistage stochastic
- extreme points
- np hard
- mixed integer linear program
- interior point methods
- dynamic programming
- objective function
- linear inequalities
- column generation
- linear programming problems
- genetic algorithm
- convex functions
- market equilibrium
- learning algorithm