Robust least square semidefinite programming with applications
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.
scientific article; zbMATH DE number 6348484
scientific article