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SDP approximability of relative robust QP
Author(s) -
Hauser Raphael,
Tütüncü Reha
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700454
Subject(s) - conic section , ellipsoid , robust optimization , quadratic programming , mathematical optimization , quadratic equation , mathematics , computer science , combinatorics , geometry , physics , astronomy
We consider a relative robust quadratic optimization problem with ellipsoidal uncertainty. This problem is generally NP‐hard, but we show how it can often be well approximated via a conic programming model. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)