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 [2] increases the numerical complexity of the solution compared to the original problem. Kocvara, Nemirovski and Zowe therefore introduced in [9] 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: Munich University of Technology, HVB-Institute for Mathematical Finance, Boltzmannstr. 3, 85748 Garching b. München, Germany, November 2006, submitted to CEJOR

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Entry Submitted: 12/22/2006
Entry Accepted: 12/26/2006
Entry Last Modified: 12/22/2006

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