An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model
Based on a successive convex programming method, an alternating iteration algorithm is proposed for solving a parameter-dependent distributionally robust optimization. Under the Slater-type condition, the convergence analysis of the algorithm is obtained. When the objective function is convex, a mod...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-04-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/10/7/1175 |
| _version_ | 1797438490883915776 |
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| author | Shuang Lin Jie Zhang Nan Shi |
| author_facet | Shuang Lin Jie Zhang Nan Shi |
| author_sort | Shuang Lin |
| collection | DOAJ |
| description | Based on a successive convex programming method, an alternating iteration algorithm is proposed for solving a parameter-dependent distributionally robust optimization. Under the Slater-type condition, the convergence analysis of the algorithm is obtained. When the objective function is convex, a modified algorithm is proposed and a less-conservative solution is obtained. Lastly, some numerical tests results are illustrated to show the efficiency of the algorithm. |
| first_indexed | 2024-03-09T11:38:42Z |
| format | Article |
| id | doaj.art-ecc40dd19250480bb393be31c9a23f2e |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T11:38:42Z |
| publishDate | 2022-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-ecc40dd19250480bb393be31c9a23f2e2023-11-30T23:38:15ZengMDPI AGMathematics2227-73902022-04-01107117510.3390/math10071175An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization ModelShuang Lin0Jie Zhang1Nan Shi2Department of Basic Courses Teaching, Dalian Polytechnic University, Dalian 116034, ChinaSchool of Mathematics, Liaoning Normal University, Dalian 116029, ChinaSchool of Mathematics, Liaoning Normal University, Dalian 116029, ChinaBased on a successive convex programming method, an alternating iteration algorithm is proposed for solving a parameter-dependent distributionally robust optimization. Under the Slater-type condition, the convergence analysis of the algorithm is obtained. When the objective function is convex, a modified algorithm is proposed and a less-conservative solution is obtained. Lastly, some numerical tests results are illustrated to show the efficiency of the algorithm.https://www.mdpi.com/2227-7390/10/7/1175distributionally robust optimizationalternating iteration algorithmconvergence analysis |
| spellingShingle | Shuang Lin Jie Zhang Nan Shi An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model Mathematics distributionally robust optimization alternating iteration algorithm convergence analysis |
| title | An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model |
| title_full | An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model |
| title_fullStr | An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model |
| title_full_unstemmed | An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model |
| title_short | An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model |
| title_sort | alternating iteration algorithm for a parameter dependent distributionally robust optimization model |
| topic | distributionally robust optimization alternating iteration algorithm convergence analysis |
| url | https://www.mdpi.com/2227-7390/10/7/1175 |
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