Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs (Q1926817): Difference between revisions

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English	Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs	scientific article

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instance of

scholarly article

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title

Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs (English)

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European Journal of Operational Research

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publication date

29 December 2012

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zbMATH Keywords

quadratic programming

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probabilistic constraint

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second-order cone programming relaxation

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semidefinite program relaxation

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mixed-integer quadratic program reformulation

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describes a project that uses

CVX

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CPLEX

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2012.03.006

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cites work

A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

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A branch and bound method for stochastic integer problems under probabilistic constraints

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The Probabilistic Set-Covering Problem

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Q4830373

0 references

An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

0 references

Uncertain convex programs: randomized solutions and confidence levels

0 references

The Scenario Approach to Robust Control Design

0 references

Chance-Constrained Programming

0 references

A branch-reduce-cut algorithm for the global optimization of probabilistically constrained linear programs

0 references

Concavity and efficient points of discrete distributions in probabilistic programming.

0 references

A heuristic algorithm for a chance constrained stochastic program

0 references

Perspective cuts for a class of convex 0-1 mixed integer programs

0 references

SDP diagonalizations and perspective cuts for a class of nonseparable MIQP

0 references

A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes

0 references

Convexity of chance constraints with independent random variables

0 references

Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach

0 references

Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design

0 references

Mathematical programming approaches for generating \(p\)-efficient points

0 references

An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems

0 references

An integer programming approach for linear programs with probabilistic constraints

0 references

Q2724705

0 references

Convex Approximations of Chance Constrained Programs

0 references

Q5201292

0 references

Q4324980

0 references

Sharp Bounds on Probabilities Using Linear Programming

0 references

Q4830009

0 references

Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra

0 references

Relaxations for probabilistically constrained programs with discrete random variables

0 references

Lectures on Stochastic Programming

0 references

Solving Large Scale Semidefinite Programs via an Iterative Solver on the Augmented Systems

0 references

Solving Some Large Scale Semidefinite Programs via the Conjugate Residual Method

0 references

A Newton-CG Augmented Lagrangian Method for Semidefinite Programming

0 references

Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach

0 references

Identifiers

zbMATH Open document ID

1253.90182

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DOI

10.1016/j.ejor.2012.03.006

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1926817

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2012.03.006
+Normal rank
@@ Property / OpenAlex ID @@
+W2050917173
@@ Property / OpenAlex ID: W2050917173 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q57445439
@@ Property / Wikidata QID: Q57445439 / rank @@
+Normal rank
@@ Property / cites work @@
+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
+Normal rank
@@ Property / cites work @@
+A branch and bound method for stochastic integer problems under probabilistic constraints
+Normal rank
@@ Property / cites work @@
+The Probabilistic Set-Covering Problem
@@ Property / cites work: The Probabilistic Set-Covering Problem / rank @@
+Normal rank
@@ Property / cites work @@
+Q4830373
@@ Property / cites work: Q4830373 / rank @@
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+Normal rank
@@ Property / cites work @@
+Uncertain convex programs: randomized solutions and confidence levels
+Normal rank
@@ Property / cites work @@
+The Scenario Approach to Robust Control Design
@@ Property / cites work: The Scenario Approach to Robust Control Design / rank @@
+Normal rank
@@ Property / cites work @@
+Chance-Constrained Programming
@@ Property / cites work: Chance-Constrained Programming / rank @@
+Normal rank
@@ Property / cites work @@
+A branch-reduce-cut algorithm for the global optimization of probabilistically constrained linear programs
+Normal rank
@@ Property / cites work @@
+Concavity and efficient points of discrete distributions in probabilistic programming.
+Normal rank
@@ Property / cites work @@
+A heuristic algorithm for a chance constrained stochastic program
+Normal rank
@@ Property / cites work @@
+Perspective cuts for a class of convex 0-1 mixed integer programs
+Normal rank
@@ Property / cites work @@
+SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
+Normal rank
@@ Property / cites work @@
+A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
+Normal rank
@@ Property / cites work @@
+Convexity of chance constraints with independent random variables
+Normal rank
@@ Property / cites work @@
+Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
+Normal rank
@@ Property / cites work @@
+Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design
+Normal rank
@@ Property / cites work @@
+Mathematical programming approaches for generating \(p\)-efficient points
+Normal rank
@@ Property / cites work @@
+An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
+Normal rank
@@ Property / cites work @@
+An integer programming approach for linear programs with probabilistic constraints
+Normal rank
@@ Property / cites work @@
+Q2724705
@@ Property / cites work: Q2724705 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Approximations of Chance Constrained Programs
+Normal rank
@@ Property / cites work @@
+Q5201292
@@ Property / cites work: Q5201292 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4324980
@@ Property / cites work: Q4324980 / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp Bounds on Probabilities Using Linear Programming
+Normal rank
@@ Property / cites work @@
+Q4830009
@@ Property / cites work: Q4830009 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
+Normal rank
@@ Property / cites work @@
+Relaxations for probabilistically constrained programs with discrete random variables
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Solving Large Scale Semidefinite Programs via an Iterative Solver on the Augmented Systems
+Normal rank
@@ Property / cites work @@
+Solving Some Large Scale Semidefinite Programs via the Conjugate Residual Method
+Normal rank
@@ Property / cites work @@
+A Newton-CG Augmented Lagrangian Method for Semidefinite Programming
+Normal rank
@@ Property / cites work @@
+Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
+Normal rank