Cascading: an adjusted exchange method for robust conic programming

It is well known that the robust counterpart introduced by Ben-Tal and Nemirovski (Math Oper Res 23:769–805, 1998) increases the numerical complexity of the solution compared to the original problem. Kočvara, Nemirovski and Zowe therefore introduced in Kočvara et al. (Comput Struct 76:431–442, 2000)...

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Bibliographic Details
Published inCentral European journal of operations research Vol. 16; no. 2; pp. 179 - 189
Main Author Werner, Ralf
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.06.2008
Springer
Springer Nature B.V
Subjects
Algorithms
Analysis
Approximation
Approximation theory
Business and Management
Chaos theory
Mathematical optimization
Mathematical programming
Methods
Operations research
Operations Research/Decision Theory
Optimization
Original Paper
Studies
Germany
Semi-infinite programming
90C25
Exchange method
Robust programming
Conic programming
90C34
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Summary:It is well known that the robust counterpart introduced by Ben-Tal and Nemirovski (Math Oper Res 23:769–805, 1998) increases the numerical complexity of the solution compared to the original problem. Kočvara, Nemirovski and Zowe therefore introduced in Kočvara et al. (Comput Struct 76:431–442, 2000) an approximation algorithm for the special case of robust material optimization, called cascading . As the title already indicates, we will show that their method can be seen as an adjustment of standard exchange methods to semi-infinite conic programming. We will see that the adjustment can be motivated by a suitable reformulation of the robust conic problem.
Bibliography:SourceType-Scholarly Journals-1
ObjectType-Feature-1
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ISSN:1435-246X
1613-9178
DOI:10.1007/s10100-007-0047-6