A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs

DOI10.1016/J.APM.2010.11.048MaRDI QIDQ554728zbMATH OpenOpenAlexFDO

Authors Yuntao Zhu, K. A. Ariyawansa

Publication date 21 July 2011

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apm.2010.11.048

zbMATH Keywords

linear programmingsemidefinite programmingstochastic programmingoptimization modelschance-constraints

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stochastic programming (90C15)

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• The use of discrete moment bounds in probabilistic constrained stochastic programming models

Cited in

(10)

• A stochastic approximation algorithm for stochastic semidefinite programming
• Homogeneous self-dual algorithms for stochastic second-order cone programming
• Convergence of a weighted barrier algorithm for stochastic convex quadratic semidefinite optimization
• Stochastic second-order cone programming: applications models
• Stochastic semidefinite optimization using sampling methods
• Analyzing the quality of the expected value solution in stochastic programming
• Stochastic second-order cone programming in mobile ad hoc networks
• Stochastic semidefinite programming: a new paradigm for stochastic optimization
• On risk-averse stochastic semidefinite programs with continuous recourse
• Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market

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