Cascading: an adjusted exchange method for robust conic programming

Ralf Werner ()

Central European Journal of Operations Research, 2008, vol. 16, issue 2, 179-189

Abstract: 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. Copyright Springer-Verlag 2008

Keywords: Robust programming; Conic programming; Semi-infinite programming; Exchange method; 90C34; 90C25 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10100-007-0047-6

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