Calculating radius of robust feasibility of uncertain linear conic programs via semi-definite programs

DOI10.1007/S10957-021-01846-7zbMATH Open1470.90061arXiv2007.07599OpenAlexW3151895805MaRDI QIDQ2032008FDOQ2032008

Authors: G. Li, Miguel Angel Goberna, V. Jeyakumar 

Publication date: 15 June 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: The radius of robust feasibility provides a numerical value for the largest possible uncertainty set that guarantees robust feasibility of an uncertain linear conic program. This determines when the robust feasible set is non-empty. Otherwise the robust counterpart of an uncertain program is not well-defined as a robust optimization problem. In this paper, we address a key fundamental question of robust optimization: How to compute the radius of robust feasibility of uncertain linear conic programs, including linear programs? We first provide computable lower and upper bounds for the radius of robust feasibility for general uncertain linear conic programs under the commonly used ball uncertainty set. We then provide important classes of linear conic programs where the bounds are calculated by finding the optimal values of related semidefinite linear programs (SDPs), among them uncertain SDPs, uncertain second-order cone programs and uncertain support vector machine problems. In the case of an uncertain linear program, the exact formula allows us to calculate the radius by finding the optimal value of an associated second-order cone program.

Full work available at URL: https://arxiv.org/abs/2007.07599

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zbMATH Keywords

parametric optimizationsemi-definite programslinear conic programsrobust feasibility

Mathematics Subject Classification ID

Linear programming (90C05) Semidefinite programming (90C22) Robustness in mathematical programming (90C17)

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Cited In (10)

• The radius of robust feasibility of uncertain mathematical programs: a survey and recent developments
• Radius of robust feasibility of system of convex inequalities with uncertain data
• Copositive tensor optimization problem and its applications to hypergraphs
• Radius of Robust Feasibility for Mixed-Integer Problems
• Sums of squares polynomial program reformulations for adjustable robust linear optimization problems with separable polynomial decision rules
• The stability of robustness for conic linear programs with uncertain data
• Radius of robust feasibility formulas for classes of convex programs with uncertain polynomial constraints
• On Radius of Robust Feasibility for Convex Conic Programs with Data Uncertainty
• An exact formula for radius of robust feasibility of uncertain linear programs
• A note on the radius of robust feasibility for uncertain convex programs

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