Stochastic nonlinear resource allocation problem

Jinqiang Cheng; Abdel Lisser; Janny Leung

doi:10.1016/j.endm.2016.03.022

Stochastic nonlinear resource allocation problem

Jinqiang Cheng, Abdel Lisser, Janny Leung

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

In this paper, we deal with a resource allocation problem modeled as special case of 0-1 Quadratic Programs with joint probabilistic rectangular constraints (QPJPC) with normally distributed coefficients and independent matrix vector rows. We reformulate this problem as a completely positive problem. In addition, the optimal value of the latter problem converges to the optimal value of the original problem under certain conditions. Numerical experiments on randomly generated data are given.

Original language	English (US)
Pages (from-to)	165-172
Number of pages	8
Journal	Electronic Notes in Discrete Mathematics
Volume	52
DOIs	https://doi.org/10.1016/j.endm.2016.03.022
State	Published - Jun 1 2016
Externally published	Yes

Keywords

Completely positive program
Joint probabilistic constraints
Piecewise tangent approximation
Quadratic program
Resource allocation problems
Stochastic programming

ASJC Scopus subject areas

Discrete Mathematics and Combinatorics
Applied Mathematics

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10.1016/j.endm.2016.03.022

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title = "Stochastic nonlinear resource allocation problem",

abstract = "In this paper, we deal with a resource allocation problem modeled as special case of 0-1 Quadratic Programs with joint probabilistic rectangular constraints (QPJPC) with normally distributed coefficients and independent matrix vector rows. We reformulate this problem as a completely positive problem. In addition, the optimal value of the latter problem converges to the optimal value of the original problem under certain conditions. Numerical experiments on randomly generated data are given.",

keywords = "Completely positive program, Joint probabilistic constraints, Piecewise tangent approximation, Quadratic program, Resource allocation problems, Stochastic programming",

author = "Jinqiang Cheng and Abdel Lisser and Janny Leung",

note = "Publisher Copyright: {\textcopyright} 2016 Elsevier B.V.",

year = "2016",

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T1 - Stochastic nonlinear resource allocation problem

AU - Cheng, Jinqiang

AU - Lisser, Abdel

AU - Leung, Janny

PY - 2016/6/1

Y1 - 2016/6/1

N2 - In this paper, we deal with a resource allocation problem modeled as special case of 0-1 Quadratic Programs with joint probabilistic rectangular constraints (QPJPC) with normally distributed coefficients and independent matrix vector rows. We reformulate this problem as a completely positive problem. In addition, the optimal value of the latter problem converges to the optimal value of the original problem under certain conditions. Numerical experiments on randomly generated data are given.

AB - In this paper, we deal with a resource allocation problem modeled as special case of 0-1 Quadratic Programs with joint probabilistic rectangular constraints (QPJPC) with normally distributed coefficients and independent matrix vector rows. We reformulate this problem as a completely positive problem. In addition, the optimal value of the latter problem converges to the optimal value of the original problem under certain conditions. Numerical experiments on randomly generated data are given.

KW - Completely positive program

KW - Joint probabilistic constraints

KW - Piecewise tangent approximation

KW - Quadratic program

KW - Resource allocation problems

KW - Stochastic programming

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DO - 10.1016/j.endm.2016.03.022

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VL - 52

SP - 165

EP - 172

JO - Electronic Notes in Discrete Mathematics

JF - Electronic Notes in Discrete Mathematics

ER -

Stochastic nonlinear resource allocation problem

Abstract

Keywords

ASJC Scopus subject areas

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