Maximizing perturbation radii for robust convex quadratically constrained quadratic programs

Pengfei Yu, Ruotian Gao and Wenxun Xing

European Journal of Operational Research, 2021, vol. 293, issue 1, 50-64

Abstract: Under the assumption that uncertain coefficients corresponding to each constraint are perturbed in an ellipsoidal set, we consider the problem of maximizing the perturbation radius of the ellipsoidal set associated to a robust convex quadratically constrained quadratic programming problem to maintain some properties of a pre-decision. To this end, a fractional programming problem is first formulated to solve the problem, and then equivalently reformulated into linear conic programs over positive semi-definite, second-order cones that are solvable in polynomial time. Numerical experiments in connection with the robust Markowitz’s portfolio selection problem are provided to demonstrate the proposed concept of sensitivity analysis. Additionally, certain numerical results are also presented to compare the efficiency of direct solutions of the proposed linear conic programs with that of a bisection method for the corresponding fractional programming problem.

Keywords: Robustness and sensitivity analysis; Quadratically constrained quadratic programming; Convex programming; Linear conic programming (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221720310754
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:293:y:2021:i:1:p:50-64

DOI: 10.1016/j.ejor.2020.12.032

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().