Linear Matrix Inequalities with Stochastically Dependent Perturbations and Applications to Chance-Constrained Semidefinite Optimization

DOI10.1137/110822906zbMath1272.65048OpenAlexW2009835388MaRDI QIDQ4915171

Anthony Man-Cho So, Sin-Shuen Cheung, Kuncheng Wang

Publication date: 9 April 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6169fd2a04a141a2c311b73da23d05e9114a974f

zbMATH Keywords

stochastic programming numerical results linear matrix inequalities semidefinite programming chance-constrained programming controlled dynamical systems large deviation bounds minimum-volume invariant ellipsoid problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Semidefinite programming (90C22) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Large deviations (60F10) Random matrices (algebraic aspects) (15B52)

Related Items (9)

T-product tensors. II: Tail bounds for sums of random T-product tensors ⋮ A note on distributionally robust optimization under moment uncertainty ⋮ Relaxation schemes for the joint linear chance constraint based on probability inequalities ⋮ A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs ⋮ The Expected Norm of a Sum of Independent Random Matrices: An Elementary Approach ⋮ Ambiguous Joint Chance Constraints Under Mean and Dispersion Information ⋮ Distributionally robust chance constraints for non-linear uncertainties ⋮ Partial sample average approximation method for chance constrained problems ⋮ Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets

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