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.

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

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

How to cite this article: Jianfeng Ren, The distributionally Robust generalized assignment problem, Far East Journal of Applied Mathematics 116(1) (2023), 47-54. http://dx.doi.org/10.17654/0972096023003

This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License

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