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Osman Y Ozaltin (oyo1pitt.edu) Abstract: We consider twostage quadratic integer programs with stochastic righthand sides, and present an equivalent reformulation using value functions. We first derive some basic properties of value functions of quadratic integer programs. We then propose a twophase solution approach. The first phase constructs the value functions of quadratic integer programs in both stages. The second phase solves the reformulation using a global branchandbound algorithm. We also consider a levelset approach to reduce the search space in the second phase. We show that our method can solve instances whose extensive forms are hundreds of orders of magnitude larger than the largest quadratic integer programming instances solved in the literature. Keywords: Stochastic Integer Programming, Quadratic Integer Programming, Value Functions, Superadditive Duality Category 1: Stochastic Programming Category 2: Integer Programming ((Mixed) Integer Nonlinear Programming ) Category 3: Nonlinear Optimization (Quadratic Programming ) Citation: Download: [PDF] Entry Submitted: 09/22/2009 Modify/Update this entry  
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