Far East Journal of Applied Mathematics

The Far East Journal of Applied Mathematics publishes original research papers and survey articles in applied mathematics, covering topics such as nonlinear dynamics, approximation theory, and mathematical modeling. It encourages papers focusing on algorithm development.

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THE DISTRIBUTIONALLY ROBUST GENERALIZED ASSIGNMENT PROBLEM

http://dx.doi.org/10.17654/0972096023003

Authors

  • Jianfeng Ren

Keywords:

generalized assignment problem, semidefinite programming, worst-case conditional value-at-risk

Abstract

In this paper, we present a distributionally robust model for stochastic generalized assignment problem, assuming only the first-order moment and the second-order moment of the random variables are given. We show that this distributionally robust model can be conservatively expressed as a tractable semidefinite programming problem via the duality theory of moment problems.

Received: November 29, 2022; Accepted: January 6, 2023; Published: March 13, 2023

References

David B. Shmoys and Eva Tardos, An approximation algorithm for the generalized assignment problem, Mathematical Programming 62 (1993), 461-474.

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L. B. Miller and H. Wagner, Chance-constrained programming with joint constraints, Operations Research 13(6) (1965), 930-945.

A. Prekopa, On probabilistic constrained programming, Proceedings of the Princeton Symposium on Mathematical Programming, Princeton University Press, Princeton, 1970, pp. 113-138.

R. T. Rockafellar and S. Uryasev, Optimization of conditional value-at-risk, Journal of Risk 2 (2002), 21-41.

A. Shapiro and A. J. Kleywegt, Minimax analysis of stochastic problems, Optim. Method Softw. 17(3) (2002), 523-542.

G. Sun, P. Zhang, L. Y. Yu and G. H. Lin, New smoothing merit function for symmetric cone complementarity problem, Pacific. J. Optim. 17(3) (2021), 577-593.

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Published

2023-03-13

Issue

Vol. 116 No. 1 (2023)

Section

Articles

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Copyright (c) 2023 Far East Journal of Applied Mathematics

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How to Cite

THE DISTRIBUTIONALLY ROBUST GENERALIZED ASSIGNMENT PROBLEM: http://dx.doi.org/10.17654/0972096023003. (2023). Far East Journal of Applied Mathematics, 116(1), 47-54. https://pphmjopenaccess.com/fejam/article/view/114

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