Chance constrained 0–1 quadratic programs using copulas
作者： Jianqiang Cheng , Michal Houda , Abdel Lisser
DOI: 10.1007/S11590-015-0854-Y
关键词: Quadratic equation 、 Probabilistic logic 、 Quadratic programming 、 Quadratically constrained quadratic program 、 Relaxation (approximation) 、 Second-order cone programming 、 Semidefinite programming 、 Mathematics 、 Mathematical optimization 、 Integer (computer science)
摘要: In this paper, we study 0–1 quadratic programs with joint probabilistic constraints. The row vectors of the constraint matrix are assumed to be normally distributed but not supposed independent. We propose a mixed integer linear reformulation and provide an efficient semidefinite relaxation original problem. dependence random is handled by means copulas. Finally, numerical experiments conducted show strength our approach.
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