Robust Optimization for Models with Uncertain Second-Order Cone and Semidefinite Programming Constraints

DOI10.1287/IJOC.2020.1025OpenAlexW3138682964MaRDI QIDQ5084645FDOQ5084645

Authors: Jianzhe Zhen, Frans J. C. T. de Ruiter, Ernst Roos, D. Den Hertog 

Publication date: 28 June 2022

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2020.1025

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zbMATH Keywords

semidefinite programmingrobust optimizationsecond-order coneadjustable robust optimizationlinear decision rules

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Least angle regression. (With discussion)
• Title not available (Why is that?)
• Robust optimization
• The Price of Robustness
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Applications of second-order cone programming
• Robust convex optimization
• Robust Solutions to Uncertain Semidefinite Programs
• Linear algebra and its applications
• Robust Solutions of Uncertain Quadratic and Conic-Quadratic Problems
• Adjustable robust solutions of uncertain linear programs
• Finite Adaptability in Multistage Linear Optimization
• Deriving robust counterparts of nonlinear uncertain inequalities
• Robust counterparts of inequalities containing sums of maxima of linear functions
• \(K\)-adaptability in two-stage robust binary programming
• Multistage robust mixed-integer optimization with adaptive partitions
• Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
• Fast algorithms for the minimum volume estimator
• The minimum sphere covering a convex polyhedron
• Computing the maximum volume inscribed ellipsoid of a polytopic projection
• Adjustable robust optimization via Fourier-Motzkin elimination

Cited In (4)

• Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective
• Robust nonlinear optimization with conic representable uncertainty set
• Title not available (Why is that?)
• Robust convex optimization: a new perspective that unifies and extends

Uses Software

• YALMIP
• Mosek

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