We consider distributionally robust two-stage stochastic linear optimization problems with higher-order (say \(p\ge 3\) and even possibly irrational) moment constraints in their ambiguity sets. We suggest to solve the dual form of the problem by a semi-infinite programming approach, which deals with a much simpler reformulation than the conic optimization approach. Some preliminary numerical results are reported.
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The authors are in debt to five anonymous referees for their comments that help greatly in improving an earlier version of the manuscript. The research is partially supported by the Provost Chair Fund at National University of Singapore and by the Australian Research Council Grant DP160102819.
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Gao, S.Y., Sun, J. & Wu, SY. A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints. Optim Lett 12, 1237–1247 (2018). https://doi.org/10.1007/s11590-016-1095-4
- Semi-infinite optimization
- Stochastic programming