A polynomial-time solution scheme for quadratic stochastic programs

DOI10.1007/S10957-012-0264-6MaRDI QIDQ368716zbMATH OpenOpenAlexWikidataFDO

Authors Daniel Kuhn, Paula Rocha

Publication date 23 September 2013

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-012-0264-6

zbMATH Keywords

robust optimizationconic programmingdecision rule approximationquadratic stochastic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic programming (90C15)

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Cites work

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• Adjustable robust solutions of uncertain linear programs
• Applications of second-order cone programming
• Distributionally robust optimization and its tractable approximations
• Generalized decision rule approximations for stochastic programming via liftings
• Lectures on Stochastic Programming
• On complexity of stochastic programming problems
• Polynomial approximations for continuous linear programs
• Primal and dual linear decision rules in stochastic and robust optimization
• Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs
• Robust Markov Decision Processes
• Robust optimization
• Second-order cone programming
• Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs

Cited in

(4)

• Two-stage stochastic standard quadratic optimization
• An SQP algorithm for extended linear-quadratic problems in stochastic programming
• An SQP-type method and its application in stochastic programs
• Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

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• ROME

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