吉首大学学报（自然科学版）2026，Vol.47Issue(2)：18-23,6.DOI:10.13438/j.cnki.jdzk.2026.02.004
带条件风险价值的两阶段分布鲁棒优化模型的等价求解
A Solvable Model for Two-Stage Distributionally Robust Optimization with Conditional Value-at-Risk
摘要
Abstract
This paper presents an equivalent solvable model for a two-stage distributionally robust optimi-zation(DRO)framework with Conditional Value-at-Risk(CVaR).Under the condition of incomplete in-formation regarding the distribution of random variables,an ambiguity set is constructed using the sec-ond-order moment information to establish the two-stage DRO-CVaR model.When the coefficients of the second-stage objective function are random variables,the model is transformed into a directly solvable semidefinite programming(SDP)problem by leveraging conic duality theory and the minimax principle.关键词
条件风险价值/分布鲁棒优化/对偶理论/半定规划Key words
onditional value-at-risk/distributionally robust optimization/duality theory/semidefinite pro-gramming分类
数理科学引用本文复制引用
刘英辉,韩有攀..带条件风险价值的两阶段分布鲁棒优化模型的等价求解[J].吉首大学学报（自然科学版）,2026,47(2):18-23,6.基金项目
陕西省自然科学基金资助项目(2025JC-YBM-099) （2025JC-YBM-099）
