Codes and Test Problems for Probabilistically Constrained Quadratic Programs

(Last updated 12/06/2013)

The source codes and data files of test problems used in the computational experiments of the working paper [1] are provided here.

(1) Computing environment:

·         Operation system: 64bit Linux (3GHz, 8GB RAM)

·         CVX 1.21 running on Matlab 7.12.0 (R2011a, 64-bit) . Note: The CVX software can be downloaded from http://cvxr.com/cvx/download/.

·         CPLEX 12.3 (64-bit)

 (2)  Test sets:

·         The first set of test problems is from [2], which could be found in http://my.gl.fudan.edu.cn/teacherhome/xlsun/pcqp/.

·         The second set of test problems is randomly generated, which can be downloaded here.

(3)  Matlab codes:

• Matlab codes can be downloaded here.

References

[1] Yong Hsia, Baiyi Wu and Duan Li,” New Reformulations for Probabilistically Constrained Quadratic Programs.” Revised June 2013.
[2] Zheng, Xiaojin, et al. "Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs." European Journal of Operational Research (2012).