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https://doi.org/10.1007/s10107-005-0677-1
DC Field | Value | |
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dc.title | Tractable approximations to robust conic optimization problems | |
dc.contributor.author | Bertsimas, D. | |
dc.contributor.author | Sim, M. | |
dc.date.accessioned | 2013-10-09T03:24:29Z | |
dc.date.available | 2013-10-09T03:24:29Z | |
dc.date.issued | 2006 | |
dc.identifier.citation | Bertsimas, D., Sim, M. (2006). Tractable approximations to robust conic optimization problems. Mathematical Programming 107 (1-2) : 5-36. ScholarBank@NUS Repository. https://doi.org/10.1007/s10107-005-0677-1 | |
dc.identifier.issn | 00255610 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/44007 | |
dc.description.abstract | In earlier proposals, the robust counterpart of conic optimization problems exhibits a lateral increase in complexity, i.e., robust linear programming problems (LPs) become second order cone problems (SOCPs), robust SOCPs become semidefinite programming problems (SDPs), and robust SDPs become NP-hard. We propose a relaxed robust counterpart for general conic optimization problems that (a) preserves the computational tractability of the nominal problem; specifically the robust conic optimization problem retains its original structure, i.e., robust LPs remain LPs, robust SOCPs remain SOCPs and robust SDPs remain SDPs, and (b) allows us to provide a guarantee on the probability that the robust solution is feasible when the uncertain coefficients obey independent and identically distributed normal distributions. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1007/s10107-005-0677-1 | |
dc.source | Scopus | |
dc.subject | Conic Optimization | |
dc.subject | Robust Optimization | |
dc.subject | Stochastic Optimization | |
dc.type | Article | |
dc.contributor.department | DECISION SCIENCES | |
dc.description.doi | 10.1007/s10107-005-0677-1 | |
dc.description.sourcetitle | Mathematical Programming | |
dc.description.volume | 107 | |
dc.description.issue | 1-2 | |
dc.description.page | 5-36 | |
dc.identifier.isiut | 000235808200002 | |
Appears in Collections: | Staff Publications |
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