Cascading – An adjusted exchange method for robust conic programming
Ralf Werner (werner_ralfgmx.net)
Abstract: It is well known that the robust counterpart introduced by Ben-Tal and Nemirovski  increases the numerical complexity of the solution compared to the original problem. Kocvara, Nemirovski and Zowe therefore introduced in  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.
Keywords: robust programming, conic programming, semi-infinite programming
Category 1: Robust Optimization
Category 2: Infinite Dimensional Optimization (Semi-infinite Programming )
Category 3: Linear, Cone and Semidefinite Programming
Citation: R. Werner, 2008, Cascading: an adjusted exchange method for robust conic programming. Central European Journal of Operations Research, 2008, 16 (2), pp 179 – 189.
Entry Submitted: 12/22/2006
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