Chance constrained 0–1 quadratic programs using copulas

• DOI: 10.1007/s11590-015-0854-y
• Publication Date: 2015-02-04T07:34:25Z
• Authors: Jianqiang Cheng; Michal Houda; Abdel Lisser
• Keywords: 0211 other engineering and technologies; [INFO.INFO-RO]Computer Science [cs]/Operations Research [cs.RO]; 02 engineering and technology; [INFO.INFO-RO] Computer Science [cs]/Operations Research [math.OC]

In this paper, we study 0–1 quadratic programs with joint probabilistic constraints. The row vectors of the constraint matrix are assumed to be normally distributed but are not supposed to be independent. We propose a mixed integer linear reformulation and provide an efficient semidefinite relaxation of the original problem. The dependence of the random vectors is handled by the means of copulas. Finally, numerical experiments are conducted to show the strength of our approach.