A Copositive Approach for Two-Stage Adjustable Robust Optimization with Uncertain Right-Hand Sides

We study two-stage adjustable robust linear programming in which the right-hand sides are uncertain and belong to a convex, compact uncertainty set. This problem is NP-hard, and the affine policy is a popular, tractable approximation. We prove that under standard and simple conditions, the two-stage problem can be reformulated as a copositive optimization problem, which … Read more

Numerical methods for large-scale non-convex quadratic programming

We consider numerical methods for finding (weak) second-order critical points for large-scale non-convex quadratic programming problems. We describe two new methods. The first is of the active-set variety. Although convergent from any starting point, it is intended primarily for the case where a good estimate of the optimal active set can be predicted. The second … Read more