IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v158y2013i2d10.1007_s10957-012-0264-6.html
   My bibliography  Save this article

A Polynomial-Time Solution Scheme for Quadratic Stochastic Programs

Author

Listed:
  • Paula Rocha

    (Imperial College London)

  • Daniel Kuhn

    (Imperial College London)

Abstract

We consider quadratic stochastic programs with random recourse—a class of problems which is perceived to be computationally demanding. Instead of using mainstream scenario tree-based techniques, we reduce computational complexity by restricting the space of recourse decisions to those linear and quadratic in the observations, thereby obtaining an upper bound on the original problem. To estimate the loss of accuracy of this approach, we further derive a lower bound by dualizing the original problem and solving it in linear and quadratic recourse decisions. By employing robust optimization techniques, we show that both bounding problems may be approximated by tractable conic programs.

Suggested Citation

  • Paula Rocha & Daniel Kuhn, 2013. "A Polynomial-Time Solution Scheme for Quadratic Stochastic Programs," Journal of Optimization Theory and Applications, Springer, vol. 158(2), pages 576-589, August.
  • Handle: RePEc:spr:joptap:v:158:y:2013:i:2:d:10.1007_s10957-012-0264-6
    DOI: 10.1007/s10957-012-0264-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-012-0264-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    File URL: https://libkey.io/10.1007/s10957-012-0264-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Angelos Georghiou & Wolfram Wiesemann & Daniel Kuhn, 2010. "Generalized Decision Rule Approximations for Stochastic Programming via Liftings," Working Papers 043, COMISEF.
    2. S. E. Wright, 1994. "Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs," Mathematics of Operations Research, INFORMS, vol. 19(4), pages 893-908, November.
    3. Joel Goh & Melvyn Sim, 2010. "Distributionally Robust Optimization and Its Tractable Approximations," Operations Research, INFORMS, vol. 58(4-part-1), pages 902-917, August.
    4. Xin Chen & Melvyn Sim & Peng Sun & Jiawei Zhang, 2008. "A Linear Decision-Based Approximation Approach to Stochastic Programming," Operations Research, INFORMS, vol. 56(2), pages 344-357, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yanıkoğlu, İhsan & Gorissen, Bram L. & den Hertog, Dick, 2019. "A survey of adjustable robust optimization," European Journal of Operational Research, Elsevier, vol. 277(3), pages 799-813.
    2. Shao-Wei Lam & Tsan Sheng Ng & Melvyn Sim & Jin-Hwa Song, 2013. "Multiple Objectives Satisficing Under Uncertainty," Operations Research, INFORMS, vol. 61(1), pages 214-227, February.
    3. Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
    4. Gauvin, Charles & Delage, Erick & Gendreau, Michel, 2017. "Decision rule approximations for the risk averse reservoir management problem," European Journal of Operational Research, Elsevier, vol. 261(1), pages 317-336.
    5. Yanikoglu, I., 2014. "Robust optimization methods for chance constrained, simulation-based, and bilevel problems," Other publications TiSEM 45826f7e-6e21-481e-889e-4, Tilburg University, School of Economics and Management.
    6. Walid Ben-Ameur & Adam Ouorou & Guanglei Wang & Mateusz Żotkiewicz, 2018. "Multipolar robust optimization," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(4), pages 395-434, December.
    7. Dan A. Iancu & Mayank Sharma & Maxim Sviridenko, 2013. "Supermodularity and Affine Policies in Dynamic Robust Optimization," Operations Research, INFORMS, vol. 61(4), pages 941-956, August.
    8. Marcus Ang & Yun Fong Lim & Melvyn Sim, 2012. "Robust Storage Assignment in Unit-Load Warehouses," Management Science, INFORMS, vol. 58(11), pages 2114-2130, November.
    9. Yun Fong Lim & Chen Wang, 2017. "Inventory Management Based on Target-Oriented Robust Optimization," Management Science, INFORMS, vol. 63(12), pages 4409-4427, December.
    10. Chen, Qingxin & Ma, Shoufeng & Li, Hongming & Zhu, Ning & He, Qiao-Chu, 2024. "Optimizing bike rebalancing strategies in free-floating bike-sharing systems: An enhanced distributionally robust approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 184(C).
    11. Rahal, Said & Papageorgiou, Dimitri J. & Li, Zukui, 2021. "Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1014-1030.
    12. Rocha, Paula & Kuhn, Daniel, 2012. "Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules," European Journal of Operational Research, Elsevier, vol. 216(2), pages 397-408.
    13. Haolin Ruan & Zhi Chen & Chin Pang Ho, 2023. "Adjustable Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," INFORMS Journal on Computing, INFORMS, vol. 35(5), pages 1002-1023, September.
    14. Joel Goh & Melvyn Sim, 2011. "Robust Optimization Made Easy with ROME," Operations Research, INFORMS, vol. 59(4), pages 973-985, August.
    15. Ayşe N. Arslan & Boris Detienne, 2022. "Decomposition-Based Approaches for a Class of Two-Stage Robust Binary Optimization Problems," INFORMS Journal on Computing, INFORMS, vol. 34(2), pages 857-871, March.
    16. Farough Motamed Nasab & Zukui Li, 2023. "Multistage Adaptive Robust Binary Optimization: Uncertainty Set Lifting versus Partitioning through Breakpoints Optimization," Mathematics, MDPI, vol. 11(18), pages 1-24, September.
    17. Yongzhen Li & Xueping Li & Jia Shu & Miao Song & Kaike Zhang, 2022. "A General Model and Efficient Algorithms for Reliable Facility Location Problem Under Uncertain Disruptions," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 407-426, January.
    18. Josette Ayoub & Michael Poss, 2016. "Decomposition for adjustable robust linear optimization subject to uncertainty polytope," Computational Management Science, Springer, vol. 13(2), pages 219-239, April.
    19. Zhang, Yachao & Le, Jian & Zheng, Feng & Zhang, Yi & Liu, Kaipei, 2019. "Two-stage distributionally robust coordinated scheduling for gas-electricity integrated energy system considering wind power uncertainty and reserve capacity configuration," Renewable Energy, Elsevier, vol. 135(C), pages 122-135.
    20. Dimitris Bertsimas & Melvyn Sim & Meilin Zhang, 2019. "Adaptive Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(2), pages 604-618, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:158:y:2013:i:2:d:10.1007_s10957-012-0264-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.