second-order conic program

Second-Order Conic and Polyhedral Approximations of the Exponential Cone: Application to Mixed-Integer Exponential Conic Programs

  • Ye Qing
  • Weijun Xie
    • Categories Integer Programming Tags , , , ,

    Exponents and logarithms exist in many important applications such as logistic regression, maximum likelihood, relative entropy and so on. Since the exponential cone can be viewed as the epigraph of perspective of the natural exponential function or the hypograph of perspective of the natural logarithm function, many mixed-integer nonlinear convex programs involving exponential or logarithm … Read more

    Distributionally robust simple integer recourse

  • Shabbir Ahmed
  • Weijun Xie
    • Categories Integer Programming, Robust Optimization, Stochastic Programming Tags , , , ,

    The simple integer recourse (SIR) function of a decision variable is the expectation of the integer round-up of the shortage/surplus between a random variable with a known distribution and the decision variable. It is the integer analogue of the simple (continuous) recourse function in two stage stochastic linear programming. Structural properties and approximations of SIR … Read more