New reformulations for probabilistically constrained quadratic programs

Yong Hsia, Baiyi Wu and Duan Li

European Journal of Operational Research, 2014, vol. 233, issue 3, 550-556

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).

Keywords: Quadratic programming; Probabilistic constraint; Semi-definite programming; Mixed-integer quadratic program; Value-at-risk/variance portfolio selection (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:233:y:2014:i:3:p:550-556

DOI: 10.1016/j.ejor.2013.08.052

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