A polynomial-time solution scheme for quadratic stochastic programs

DOI10.1007/S10957-012-0264-6zbMATH Open1272.90039OpenAlexW2080020343WikidataQ89134957 ScholiaQ89134957MaRDI QIDQ368716FDOQ368716

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

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zbMATH Keywords

robust optimizationconic programmingdecision rule approximationquadratic stochastic programming

Mathematics Subject Classification ID

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

Cites Work

• Robust optimization
• Applications of second-order cone programming
• Second-order cone programming
• Lectures on Stochastic Programming
• Title not available (Why is that?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Distributionally robust optimization and its tractable approximations
• Title not available (Why is that?)
• Adjustable robust solutions of uncertain linear programs
• Generalized decision rule approximations for stochastic programming via liftings
• A Linear Decision-Based Approximation Approach to Stochastic Programming
• On complexity of stochastic programming problems
• Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs
• Primal and dual linear decision rules in stochastic and robust optimization
• Polynomial approximations for continuous linear programs
• Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
• Robust Markov Decision Processes
• A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization

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

Uses Software

• ROME

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