Two-stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse

This paper studies the class of two-stage stochastic programs (SP) with a linearly bi-parameterized recourse function defined by a convex quadratic program. A distinguishing feature of this new class of stochastic programs is that the objective function in the second stage is linearly parameterized by the first-stage decision variable, in addition to the standard linear … Read more

Faster, but Weaker, Relaxations for Quadratically Constrained Quadratic Programs

We introduce a new relaxation framework for nonconvex quadratically constrained quadratic programs (QCQPs). In contrast to existing relaxations based on semidefinite programming (SDP), our relaxations incorporate features of both SDP and second order cone programming (SOCP) and, as a result, solve more quickly than SDP. A downside is that the calculated bounds are weaker than … Read more