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Robust solutions to conic quadratic problems and their applications

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Abstract

This paper deals with uncertain conic quadratic constraints. An approximate robust counterpart is formulated for the case where both sides of the constraint depend on the same perturbations, and the perturbations belong to an uncertainty set which is an intersection of ellipsoids. Examples to problems in which such constraints occur are presented and solved.

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Authors and Affiliations

  1. Harav Maymon 32/6, Haifa, 32585, Israel

    O. Boni, A. Ben-Tal & A. Nemirovski

Authors
  1. O. Boni
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  2. A. Ben-Tal
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  3. A. Nemirovski
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Correspondence to O. Boni.

Additional information

The research was supported by BSF grant no. 729/04.

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Boni, O., Ben-Tal, A. & Nemirovski, A. Robust solutions to conic quadratic problems and their applications. Optim Eng 9, 1–18 (2008). https://doi.org/10.1007/s11081-007-9006-2

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  • DOI: https://doi.org/10.1007/s11081-007-9006-2

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