Immunizing Conic Quadratic Optimization Problems Against Implementation Errors
AbstractWe show that the robust counterpart of a convex quadratic constraint with ellipsoidal implementation error is equivalent to a system of conic quadratic constraints. To prove this result we first derive a sharper result for the S-lemma in case the two matrices involved can be simultaneously diagonalized. This extension of the S-lemma may also be useful for other purposes. We extend the result to the case in which the uncertainty region is the intersection of two convex quadratic inequalities. The robust counterpart for this case is also equivalent to a system of conic quadratic constraints. Results for convex conic quadratic constraints with implementation error are also given. We conclude with showing how the theory developed can be applied in robust linear optimization with jointly uncertain parameters and implementation errors, in sequential robust quadratic programming, in Taguchi’s robust approach, and in the adjustable robust counterpart.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2011-060.
Date of creation: 2011
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Conic Quadratic Program; hidden convexity; implementation error; robust optimization; simultaneous diagonalizability; S-lemma;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stinstra, Erwin & den Hertog, Dick, 2008. "Robust optimization using computer experiments," European Journal of Operational Research, Elsevier, vol. 191(3), pages 816-837, December.
- Ben-Tal, A. & Hertog, D. den & Laurent, M., 2011. "Hidden Convexity in Partially Separable Optimization," Discussion Paper 2011-070, Tilburg University, Center for Economic Research.
- Ben-Tal, A. & Hertog, D. den & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Discussion Paper 2012-053, Tilburg University, Center for Economic Research.
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