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Stochastic 0-1 linear programming under limited distributional information

Authors:	Michael R. Wagner

Affiliation:	Department of Management, California State University East Bay, Hayward, CA 94542, USA

Abstract:	We consider the problem where the a_j are random vectors with unknown distributions. The only information we are given regarding the random vectors a_j are their moments, up to order k. We give a robust formulation, as a function of k, for the 0-1 integer linear program under this limited distributional information.

Keywords:	Stochastic integer programming Second order cone programming Semidefinite programming.
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