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math.OC2022
Recursive McCormick Linearization of Multilinear Programs
Arvind U Raghunathan, Carlos Cardonha, David Bergman +1
Linear programming (LP) relaxations are widely employed in exact solution methods for multilinear programs (MLP). One example is the family of Recursive McCormick Linearization (RM…
math.OC2021
Optimizing the expected maximum of two linear functions defined on a multivariate Gaussian distribution
David Bergman, Carlos Cardonha, Jason Imbrogno +1
We study stochastic optimization problems with objective function given by the expectation of the maximum of two linear functions defined on the component random variables of a mul…