A robust optmization perspective on stochastic programming
成果类型：
Article
署名作者：
Chen, Xin; Sim, Melvyn; Sun, Peng
署名单位：
University of Illinois System; University of Illinois Urbana-Champaign; National University of Singapore; Duke University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1070.0441
发表日期：
2007
页码：
1058-1071
关键词：
摘要：
In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for random variables termed the forward and backward deviations. These deviation measures capture distributional asymmetry and lead to better approximations of chance constraints. Using a linear decision rule, we also propose a tractable approximation approach for solving a class of multistage chance-constrained stochastic linear optimization problems. An attractive feature of the framework is that we convert the original model into a second-order cone program, which is computationally tractable both in theory and in practice. We demonstrate the framework through an application of a project management problem with uncertain activity completion time.