A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems

Tong, XJ; Yang, L; Luo, X; Rao, B

Yang, L (corresponding author), Xiangtan Univ, Sch Math & Computat Sci, Hunan Key Lab Computat & Simulat Sci & Engn, Key Lab Intelligent Comp & Informat Proc,Minist E, Xiangtan 411105, Hunan, Peoples R China.

OPTIMIZATION METHODS & SOFTWARE, 2020; 35 (5): 1002

Abstract

This paper studies a class of two-stage distributionally robust optimization (TDRO) problems which comes from many practical application fields. In or......

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