Before revision: We first present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems, and use it to develop an algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on their moments.
After revision: We first present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems, and use it to develop a novel algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on their moments.