Relaxed robust second-order-cone programming

I Averbakh; Yun-Bin Zhao

doi:10.1016/j.amc.2009.01.019

Relaxed robust second-order-cone programming

I Averbakh, Yun-Bin Zhao

Mathematics

Research output: Contribution to journal › Article

Abstract

In this paper, we propose an approximate optimization model for the robust second-order-cone programming problem with a single-ellipsoid uncertainty set for which the computational complexity is not known yet. We prove that this approximate robust model can be equivalently reformulated as a finite convex optimization problem. (c) 2009 Elsevier Inc. All rights reserved.

Original language	English
Pages (from-to)	387-397
Number of pages	11
Journal	Applied Mathematics and Computation
Volume	210
Issue number	2
DOIs	https://doi.org/10.1016/j.amc.2009.01.019
Publication status	Published - 1 Apr 2009

Keywords

Robust optimization
Convex analysis
Nonlinear optimization
Second-order-cone program

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10.1016/j.amc.2009.01.019

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title = "Relaxed robust second-order-cone programming",

abstract = "In this paper, we propose an approximate optimization model for the robust second-order-cone programming problem with a single-ellipsoid uncertainty set for which the computational complexity is not known yet. We prove that this approximate robust model can be equivalently reformulated as a finite convex optimization problem. (c) 2009 Elsevier Inc. All rights reserved.",

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author = "I Averbakh and Yun-Bin Zhao",

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AU - Zhao, Yun-Bin

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AB - In this paper, we propose an approximate optimization model for the robust second-order-cone programming problem with a single-ellipsoid uncertainty set for which the computational complexity is not known yet. We prove that this approximate robust model can be equivalently reformulated as a finite convex optimization problem. (c) 2009 Elsevier Inc. All rights reserved.

KW - Robust optimization

KW - Convex analysis

KW - Nonlinear optimization

KW - Second-order-cone program

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DO - 10.1016/j.amc.2009.01.019

M3 - Article

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VL - 210

SP - 387

EP - 397

JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

IS - 2

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Relaxed robust second-order-cone programming

Abstract

Keywords

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