Stochastic second-order cone programming: Applications models |
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Authors: | Baha M. Alzalg |
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Affiliation: | Department of Mathematics, Washington State University, Pullman, WA 99164-3113, USA |
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Abstract: | Second-order cone programs are a class of convex optimization problems. We refer to them as deterministic second-order cone programs (DSCOPs) since data defining them are deterministic. In DSOCPs we minimize a linear objective function over the intersection of an affine set and a product of second-order (Lorentz) cones. Stochastic programs have been studied since 1950s as a tool for handling uncertainty in data defining classes of optimization problems such as linear and quadratic programs. Stochastic second-order cone programs (SSOCPs) with recourse is a class of optimization problems that defined to handle uncertainty in data defining DSOCPs. In this paper we describe four application models leading to SSOCPs. |
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Keywords: | Conic programming Stochastic programming Second-order cone programming Optimization models |
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