Second-Order Conic Programming Approach for Wasserstein Distributionally Robust Two-Stage Linear Programs

IEEE Transactions on Automation Science and Engineering ◽

10.1109/tase.2021.3056429 ◽

2021 ◽

pp. 1-13

Author(s):

Zhuolin Wang ◽

Keyou You ◽

Shiji Song ◽

Yuli Zhang

Keyword(s):

Second Order ◽

Conic Programming ◽

Programming Approach ◽

Linear Programs ◽

Two Stage ◽

Distributionally Robust

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Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

Operations Research ◽

10.1287/opre.2017.1698 ◽

2018 ◽

Vol 66 (3) ◽

pp. 849-869 ◽

Author(s):

Grani A. Hanasusanto ◽

Daniel Kuhn

Keyword(s):

Conic Programming ◽

Linear Programs ◽

Two Stage ◽

Distributionally Robust

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Solving Wasserstein Robust Two-stage Stochastic Linear Programs via Second-order Conic Programming

10.23919/ccc52363.2021.9549657 ◽

2021 ◽

Author(s):

Zhuolin Wang ◽

Keyou You ◽

Shiji Song ◽

Yuli Zhang

Keyword(s):

Second Order ◽

Conic Programming ◽

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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A note on second order cone programming approach to two-stage network data envelopment analysis

European Journal of Operational Research ◽

10.1016/j.ejor.2017.06.011 ◽

2017 ◽

Vol 263 (2) ◽

pp. 733-735 ◽

Author(s):

Chuanyin Guo ◽

Fajie Wei ◽

Yao Chen

Keyword(s):

Data Envelopment Analysis ◽

Second Order ◽

Programming Approach ◽

Network Data ◽

Data Envelopment ◽

Two Stage ◽

Cone Programming ◽

Second Order Cone Programming ◽

Network Data Envelopment Analysis ◽

Second Order Cone

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A second-order cone programming approach for linear programs with joint probabilistic constraints

Operations Research Letters ◽

10.1016/j.orl.2012.06.008 ◽

2012 ◽

Vol 40 (5) ◽

pp. 325-328 ◽

Author(s):

Jianqiang Cheng ◽

Abdel Lisser

Keyword(s):

Second Order ◽

Probabilistic Constraints ◽

Programming Approach ◽

Linear Programs ◽

Cone Programming ◽

Second Order Cone Programming ◽

Second Order Cone

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Second order cone programming approach to two-stage network data envelopment analysis

European Journal of Operational Research ◽

10.1016/j.ejor.2017.03.074 ◽

2017 ◽

Vol 262 (1) ◽

pp. 231-238 ◽

Author(s):

Kun Chen ◽

Joe Zhu

Keyword(s):

Data Envelopment Analysis ◽

Second Order ◽

Programming Approach ◽

Network Data ◽

Data Envelopment ◽

Two Stage ◽

Cone Programming ◽

Second Order Cone Programming ◽

Network Data Envelopment Analysis ◽

Second Order Cone

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A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints

Optimization Letters ◽

10.1007/s11590-016-1095-4 ◽

2016 ◽

Vol 12 (6) ◽

pp. 1237-1247 ◽

Author(s):

Sarah Yini Gao ◽

Jie Sun ◽

Soon-Yi Wu

Keyword(s):

Order Moment ◽

Programming Approach ◽

Linear Programs ◽

Two Stage ◽

High Order Moment ◽

Infinite Programming ◽

Stochastic Linear Programs

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Exact conic programming reformulations of two-stage adjustable robust linear programs with new quadratic decision rules

Optimization Letters ◽

10.1007/s11590-020-01595-y ◽

2020 ◽

Author(s):

D. Woolnough ◽

V. Jeyakumar ◽

G. Li

Keyword(s):

Decision Rules ◽

Conic Programming ◽

Linear Programs ◽

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Tractable reformulations of two-stage distributionally robust linear programs over the type-∞ Wasserstein ball

Operations Research Letters ◽

10.1016/j.orl.2020.06.003 ◽

2020 ◽

Vol 48 (4) ◽

pp. 513-523

Author(s):

Weijun Xie

Keyword(s):

Linear Programs ◽

Two Stage ◽

Distributionally Robust

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Portfolio optimization using second order conic programming approach

Mathematical Finance Letters ◽

10.28919/mfl/4435 ◽

2021 ◽

Keyword(s):

Portfolio Optimization ◽

Second Order ◽

Conic Programming ◽

Programming Approach

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Scenario-based cuts for structured two-stage stochastic and distributionally robust p-order conic mixed integer programs

Journal of Global Optimization ◽

10.1007/s10898-020-00986-w ◽

2021 ◽

Author(s):

Manish Bansal ◽

Yingqiu Zhang

Keyword(s):

Mixed Integer ◽

Two Stage ◽

Integer Programs ◽

Mixed Integer Programs ◽

Distributionally Robust

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