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A numerical method for solving stochastic programming problems with moment constraints on a distribution function

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Abstract

The stochastic programming problem is considered in the case of a distribution function with partially known random parameters. A minimax approach is taken, and a numerical method is proposed for problems when information on the distribution function can be expressed in the form of finitely many moment constraints. Convergence is proved and results of numerical experiments are reported.

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  1. V. Glushkov Institute of Cybernetics, Kiev, USSR

    Alexei A. Gaivoronski

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  1. Alexei A. Gaivoronski
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Gaivoronski, A.A. A numerical method for solving stochastic programming problems with moment constraints on a distribution function. Ann Oper Res 31, 347–369 (1991). https://doi.org/10.1007/BF02204857

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