New reformulations for probabilistically constrained quadratic programs

DOI10.1016/J.EJOR.2013.08.052MaRDI QIDQ296982zbMATHOpenAlexDBLPWikidataFDO

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

zbMATH Keywords

quadratic programmingmixed-integer quadratic programprobabilistic constraintsemi-definite programmingvalue-at-risk/variance portfolio selection

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic programming (90C15) Mixed integer programming (90C11)

Recommendations

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Cites work

• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
• An exact solution approach for portfolio optimization problems under stochastic and integer constraints
• An integer programming approach for linear programs with probabilistic constraints
• Augmented Lagrangian method for probabilistic optimization
• Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
• Pattern-based modeling and solution of probabilistically constrained optimization problems
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• Solution of a product substitution problem using stochastic programming
• Threshold Boolean form for joint probabilistic constraints with random technology matrix

Cited in

(3)

• Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
• Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
• Quadratic convex reformulation for quadratic programming with linear on-off constraints

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