A nonlinear semidefinite optimization relaxation for the worst-case linear optimization under uncertainties
DOI10.1007/S10107-014-0799-4zbMATH Open1327.90106OpenAlexW2015779025MaRDI QIDQ494344FDOQ494344
Authors: Jiming Peng, Tao Zhu 
Publication date: 31 August 2015
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-014-0799-4
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semidefinite optimizationsystemic riskadjustable robust optimizationaffine decision rulesworst-case linear optimization
Linear programming (90C05) Nonconvex programming, global optimization (90C26) Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47)
Cites Work
- Theory and applications of robust optimization
- Robust optimization
- Robust solutions of uncertain linear programs
- Introduction to Stochastic Programming
- Robust convex optimization
- Systemic risk in financial systems
- Semidefinite programming versus the reformulation-linearization technique for nonconvex quadratically constrained quadratic programming
- Risk assessment for banking systems
- Adjustable robust solutions of uncertain linear programs
- Computable representations for convex hulls of low-dimensional quadratic forms
- Representing quadratically constrained quadratic programs as generalized copositive programs
- Uncertain linear programs: extended affinely adjustable robust counterparts
- A geometric characterization of the power of finite adaptability in multistage stochastic and adaptive optimization
- On the power of robust solutions in two-stage stochastic and adaptive optimization problems
- On the power and limitations of affine policies in two-stage adaptive optimization
Cited In (6)
- Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties
- Quantifying outcome functions of linear programs: an approach based on interval-valued right-hand sides
- Enhancing semidefinite relaxation for quadratically constrained quadratic programming via penalty methods
- An effective global algorithm for worst-case linear optimization under polyhedral uncertainty
- An efficient global algorithm for worst-case linear optimization under uncertainties based on nonlinear semidefinite relaxation
- New global algorithms for quadratic programming with a few negative eigenvalues based on alternative direction method and convex relaxation
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