Robust least square semidefinite programming with applications
type: Item
instance of: scholarly article
title: Robust least square semidefinite programming with applications
zbMATH Open document ID: 1330.90061
author: G. Li
author: Alfred Ka Chun Ma
author: Ting Kei Pong
published in: Computational Optimization and Applications
publication date: 2014-09-26T00:00:00Z
review text: 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.
reviewed by: Jan-Joachim Rückmann
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C22
zbMATH DE Number: 6348484
zbMATH Keywords: robust optimization
zbMATH Keywords: uncertain least square SDP
zbMATH Keywords: strong duality
zbMATH Keywords: infeasibility
zbMATH Keywords: spectral gradient projection method
zbMATH Keywords: robust correlation stress testing
Wikidata QID: Q57511197
describes a project that uses: SDPT3
MaRDI profile type: Publication
full work available at URL: s10589-013-9634-8
OpenAlex ID: W1999418275
cites work: Robust solutions of linear programming problems contaminated with uncertain data
cites work: Selected topics in robust convex optimization
cites work: Q3182207
cites work: Constructing Uncertainty Sets for Robust Linear Optimization
cites work: Theory and Applications of Robust Optimization
cites work: Introduction to Stochastic Programming
cites work: Nonmonotone Spectral Projected Gradient Methods on Convex Sets
cites work: Minimizing and Stationary Sequences of Constrained Optimization Problems
cites work: On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
cites work: Robust Solutions to Least-Squares Problems with Uncertain Data
cites work: Q3953098
cites work: Smoothing functions for second-order-cone complementarity problems
cites work: A dual algorithm for the solution of nonlinear variational problems via finite element approximation
cites work: Two-Metric Projection Methods for Constrained Optimization
cites work: Calibrating Least Squares Semidefinite Programming with Equality and Inequality Constraints
cites work: Q4144736
cites work: A new inexact alternating directions method for monotone variational inequalities
cites work: Geometric condition measures and smoothness condition measures for closed convex sets and linear regularity of infinitely many closed convex sets
cites work: The SECQ, Linear Regularity, and the Strong CHIP for an Infinite System of Closed Convex Sets in Normed Linear Spaces
cites work: An augmented Lagrangian approach for sparse principal component analysis
cites work: Q3320132
cites work: Introductory lectures on convex optimization. A basic course.
cites work: Excessive Gap Technique in Nonsmooth Convex Minimization
cites work: Smooth minimization of non-smooth functions
cites work: Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
cites work: An Application of Error Bounds for Convex Programming in a Linear Space
cites work: Convex Analysis
cites work: Lectures on Stochastic Programming
cites work: Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
cites work: SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
cites work: Global Convergence of a a of Trust-Region Methods for Nonconvex Minimization in Hilbert Space
cites work: Approximation accuracy, gradient methods, and error bound for structured convex optimization
cites work: A coordinate gradient descent method for nonsmooth separable minimization
cites work: Solving semidefinite-quadratic-linear programs using SDPT3
cites work: Alternating Direction Algorithms for $\ell_1$-Problems in Compressive Sensing
DOI: 10.1007/S10589-013-9634-8
description: scientific article; zbMATH DE number 6348484