Extending the Scope of Robust Quadratic Optimization

DOI10.1287/IJOC.2021.1059MaRDI QIDQ5084646zbMATH OpenOpenAlexFDO

Authors Ahmadreza Marandi, Aharon Ben-Tal, D. Den Hertog, Bertrand Melenberg

Publication date 28 June 2022

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

Full work available at URL https://arxiv.org/abs/1909.01762

zbMATH Keywords

inner approximationmean-variance uncertaintyouter approximationquadratic optimizationrobust optimization

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• Accuracy and Stability of Numerical Algorithms
• Adjustable robust solutions of uncertain linear programs
• Asymptotic Statistics
• Data-driven robust optimization
• Deriving robust counterparts of nonlinear uncertain inequalities
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Financial econometrics. Models and methods
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Quadratic programming with one negative eigenvalue is NP-hard
• Robust convex optimization
• Robust convex quadratically constrained programs
• Robust linear optimization under general norms.
• Robust optimization
• 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 SOS-convex polynomial optimization problems: exact SDP relaxations
• Testing for (in)finite moments
• The Price of Robustness

Cited in

(4)

• A robust algorithm for quadratic optimization under quadratic constraints
• Robust quadratic optimization of systems with large parameter variations
• scientific article; zbMATH DE number 791281 (Why is no real title available?)
• A robustification approach in unconstrained quadratic optimization

Describes a project that uses

Uses Software

• mctoolbox
• YALMIP
• Mosek

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