Convexifiable quadratic inequality systems: new minimax S-lemma and exact SOCPs for classes of distributionally robust optimization problems

Q. Y. Huang (), V. Jeyakumar (), G. Li () and D. T. K. Huyen ()
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Q. Y. Huang: University of New South Wales
V. Jeyakumar: University of New South Wales
G. Li: University of New South Wales
D. T. K. Huyen: University of New South Wales

Journal of Global Optimization, 2025, vol. 92, issue 3, No 2, 535-568

Abstract: Abstract This paper introduces a generalization of the powerful S-lemma, extending it to minimax quadratic functions for the first time. Notably, the convexity of the involved functions is not assumed; instead, our approach leverages the convexifiability of the associated quadratic systems. It provides various verifiable conditions to identify this convexifiability by exploiting the system’s separability. Using the new minimax S-lemma and the simultaneous diagonalization property, the paper presents exact second-order cone program reformulations for classes of distributionally robust optimization problems involving minimax quadratic functions, ensuring that they share the same optimal value and can efficiently be solved. Finally, it also provides numerical validations of our results for concrete models of insurance risk assessment, maximum revenue estimation, and option pricing under distributional uncertainty.

Keywords: S-lemma; Distributionally robust optimization; Minimax quadratic functions; Second-order cone program; Non-convex optimization (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10898-025-01499-0

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