Robust least square semidefinite programming with applications (Q457207): Difference between revisions
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The authors consider a least square semidefinite programming problem and its robustification which is described as a semidefinite linear program with an additional second order cone constraint. The paper discusses results on constraint qualififcations, sensitivity analysis and duality for this class of problems. Finally, the mathematical model for the robust correlation stress testing is considered as an application. | |||
| Property / review text: The authors consider a least square semidefinite programming problem and its robustification which is described as a semidefinite linear program with an additional second order cone constraint. The paper discusses results on constraint qualififcations, sensitivity analysis and duality for this class of problems. Finally, the mathematical model for the robust correlation stress testing is considered as an application. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Jan-Joachim Rückmann / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C22 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6348484 / rank | |||
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| Property / zbMATH Keywords | |||
robust optimization | |||
| Property / zbMATH Keywords: robust optimization / rank | |||
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| Property / zbMATH Keywords | |||
uncertain least square SDP | |||
| Property / zbMATH Keywords: uncertain least square SDP / rank | |||
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| Property / zbMATH Keywords | |||
strong duality | |||
| Property / zbMATH Keywords: strong duality / rank | |||
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infeasibility | |||
| Property / zbMATH Keywords: infeasibility / rank | |||
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| Property / zbMATH Keywords | |||
spectral gradient projection method | |||
| Property / zbMATH Keywords: spectral gradient projection method / rank | |||
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| Property / zbMATH Keywords | |||
robust correlation stress testing | |||
| Property / zbMATH Keywords: robust correlation stress testing / rank | |||
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Revision as of 11:56, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust least square semidefinite programming with applications |
scientific article |
Statements
Robust least square semidefinite programming with applications (English)
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26 September 2014
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The authors consider a least square semidefinite programming problem and its robustification which is described as a semidefinite linear program with an additional second order cone constraint. The paper discusses results on constraint qualififcations, sensitivity analysis and duality for this class of problems. Finally, the mathematical model for the robust correlation stress testing is considered as an application.
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robust optimization
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uncertain least square SDP
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strong duality
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infeasibility
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spectral gradient projection method
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robust correlation stress testing
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