Rujun Jiang – Optimization Online

Solving Chance Constrained Programs via a Penalty based Difference of Convex Approach

Published: 2026/03/13

Nonlinear Optimization, Stochastic Programming chance constraint, difference of convex programming, exact penalty methods, Sample Average Approximation (SAA)

We develop two penalty based difference of convex (DC) algorithms for solving chance constrained programs. First, leveraging a rank-based DC decomposition of the chance constraint, we propose a proximal penalty based DC algorithm in the primal space that does not require a feasible initialization. Second, to improve numerical stability in the general nonlinear settings, we … Read more

New notions of simultaneous diagonalizability of quadratic forms with applications to QCQPs

Published: 2021/01/28

Rujun Jiang

Alex L. Wang

Quadratic Programming almost simultaneously diagonalizable, quadratic forms, quadratically constrained quadratic programming, restricted simultaneously diagonalizable, simultaneous congruence

A set of quadratic forms is simultaneously diagonalizable via congruence (SDC) if there exists a basis under which each of the quadratic forms is diagonal. This property appears naturally when analyzing quadratically constrained quadratic programs (QCQPs) and has important implications in this context. This paper extends the reach of the SDC property by studying two … Read more