An Alternating Iteration Algorithm for a Parameter-Dependent Distributionally Robust Optimization Model

Shuang Lin, Jie Zhang and Nan Shi
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Shuang Lin: Department of Basic Courses Teaching, Dalian Polytechnic University, Dalian 116034, China
Jie Zhang: School of Mathematics, Liaoning Normal University, Dalian 116029, China
Nan Shi: School of Mathematics, Liaoning Normal University, Dalian 116029, China

Mathematics, 2022, vol. 10, issue 7, 1-12

Abstract: 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.

Keywords: distributionally robust optimization; alternating iteration algorithm; convergence analysis (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
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