Cascading: an adjusted exchange method for robust conic programming

• Published in: Central European journal of operations research Vol. 16; no. 2; pp. 179 - 189
• Main Author: Werner, Ralf
• Format: Journal Article
• Language: English
• 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

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)...