New reformulations for probabilistically constrained quadratic programs
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 550-556 |
| Journal / Publication | European Journal of Operational Research |
| Volume | 233 |
| Issue number | 3 |
| Online published | 8 Sep 2013 |
| Publication status | Published - 16 Mar 2014 |
| Externally published | Yes |
Link(s)
Abstract
The mixed integer quadratic programming (MIQP) reformulation by Zheng, Sun, Li, and Cui (2012) for probabilistically constrained quadratic programs (PCQP) recently published in EJOR significantly dominates the standard MIQP formulation (Ruszczynski, 2002; Benati & Rizzi, 2007) which has been widely adopted in the literature. Stimulated by the dimensionality problem which Zheng et al. (2012) acknowledge themselves for their reformulations, we study further the characteristics of PCQP and develop new MIQP reformulations for PCQP with fewer variables and constraints. The results from numerical tests demonstrate that our reformulations clearly outperform the state-of-the-art MIQP in Zheng et al. (2012).
Research Area(s)
- Mixed-integer quadratic program, Probabilistic constraint, Quadratic programming, Semi-definite programming, Value-at-risk/variance portfolio selection
Citation Format(s)
New reformulations for probabilistically constrained quadratic programs. / Hsia, Yong; Wu, Baiyi; Li, Duan.
In: European Journal of Operational Research, Vol. 233, No. 3, 16.03.2014, p. 550-556.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
