Robust least square semidefinite programming with applications (Q457207)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Robust least square semidefinite programming with applications |
scientific article; zbMATH DE number 6348484
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust least square semidefinite programming with applications |
scientific article; zbMATH DE number 6348484 |
Statements
Robust least square semidefinite programming with applications (English)
0 references
26 September 2014
0 references
The authors consider a least square semidefinite programming problem and its robustification which is described as a semidefinite linear program with an additional second order cone constraint. The paper discusses results on constraint qualififcations, sensitivity analysis and duality for this class of problems. Finally, the mathematical model for the robust correlation stress testing is considered as an application.
0 references
robust optimization
0 references
uncertain least square SDP
0 references
strong duality
0 references
infeasibility
0 references
spectral gradient projection method
0 references
robust correlation stress testing
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
