Stochastic 0–1 linear programming under limited distributional information

Stochastic 0–1 linear programming under limited distributional information

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Article ID: iaor20091460
Country: Netherlands
Volume: 36
Issue: 2
Start Page Number: 150
End Page Number: 156
Publication Date: Mar 2008
Journal: Operations Research Letters
Authors:
Keywords: programming: integer, programming: probabilistic
Abstract:

We consider the problem minx∈{0,1}n {c′x : a′jx⩽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 0–1 integer linear program under this limited distributional information.

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