Stochastic 0-1 linear programming under limited distributional information

We consider the problem minX{0,1}n {c x : aj x bj , j = 1, . . . , m}, where the aj are random vectors with unknown distributions. The only information we are given regarding the random vectors aj are their moments, up to order k. We give a robust formulation, as a function of k, for the 0

• Type: Journal
• Year: 2008
• Where: ORL
• Authors: Michael R. Wagner
• Keywords: Limited Distributional Information, ORL 2008, Random Vectors, Unknown Distributions