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

DOI10.1287/IJOC.2020.1025MaRDI QIDQ5084645zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

semidefinite programmingrobust optimizationsecond-order coneadjustable robust optimizationlinear decision rules

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Adjustable robust optimization via Fourier-Motzkin elimination
• Adjustable robust solutions of uncertain linear programs
• Applications of second-order cone programming
• Computing the maximum volume inscribed ellipsoid of a polytopic projection
• Deriving robust counterparts of nonlinear uncertain inequalities
• Fast algorithms for the minimum volume estimator
• Finite Adaptability in Multistage Linear Optimization
• Least angle regression. (With discussion)
• Linear algebra and its applications
• Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
• Multistage robust mixed-integer optimization with adaptive partitions
• Robust Solutions of Uncertain Quadratic and Conic-Quadratic Problems
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Robust Solutions to Uncertain Semidefinite Programs
• Robust convex optimization
• Robust counterparts of inequalities containing sums of maxima of linear functions
• Robust optimization
• The Price of Robustness
• The minimum sphere covering a convex polyhedron
• \(K\)-adaptability in two-stage robust binary programming

Cited in

(4)

• Robust nonlinear optimization with conic representable uncertainty set
• Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective
• Robust convex optimization: a new perspective that unifies and extends
• scientific article; zbMATH DE number 6520010 (Why is no real title available?)

Describes a project that uses

Uses Software

• YALMIP
• Mosek

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