A polynomial-time solution scheme for quadratic stochastic programs

DOI10.1007/s10957-012-0264-6zbMath1272.90039OpenAlexW2080020343WikidataQ89134957 ScholiaQ89134957MaRDI QIDQ368716

Paula Rocha, Daniel Kuhn

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 optimizationquadratic stochastic programmingconic programmingdecision rule approximation

Mathematics Subject Classification ID

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

Related Items (1)

Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

Uses Software

• ROME

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Generalized decision rule approximations for stochastic programming via liftings
• Primal and dual linear decision rules in stochastic and robust optimization
• Applications of second-order cone programming
• Second-order cone programming
• Adjustable robust solutions of uncertain linear programs
• Polynomial Approximations for Continuous Linear Programs
• Distributionally Robust Optimization and Its Tractable Approximations
• A Linear Decision-Based Approximation Approach to Stochastic Programming
• Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
• Lectures on Stochastic Programming
• Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs
• Robust Markov Decision Processes
• A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

This page was built for publication: A polynomial-time solution scheme for quadratic stochastic programs