New reformulations for probabilistically constrained quadratic programs
DOI10.1016/J.EJOR.2013.08.052zbMATH Open1339.90260DBLPjournals/eor/HsiaWL14OpenAlexW1983846209WikidataQ57445422 ScholiaQ57445422MaRDI QIDQ296982FDOQ296982
Authors: Yong Hsia, Baiyi Wu, Duan Li 
Publication date: 24 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.08.052
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Cites Work
- Augmented Lagrangian method for probabilistic optimization
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- An integer programming approach for linear programs with probabilistic constraints
- Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Solution of a product substitution problem using stochastic programming
- An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
- Threshold Boolean form for joint probabilistic constraints with random technology matrix
- Pattern-based modeling and solution of probabilistically constrained optimization problems
Cited In (3)
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Quadratic convex reformulation for quadratic programming with linear on-off constraints
- Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
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