Exact dual semi-definite programs for affinely adjustable robust SOS-convex polynomial optimization problems. (2nd December 2022)

• Record Type: Journal Article
• Authors: Chuong, T. D.; Jeyakumar, V.; Li, G.; Woolnough, D.
• Is Part Of: Optimization. Volume 71:Number 12(2022)
• Page Start: 3539
• Page End: 3569
• Publication Date: 2022-12-02
• Subjects: Adjustable robust optimization -- exact conic duals -- robust convex optimization -- SOS-convex polynomials -- linear matrix inequalities; 49K99 -- 65K10 -- 90C29 -- 90C46; Mathematical optimization -- Periodicals; 519.7
• DOI: 10.1080/02331934.2021.1902521
• Languages: English
• ISSNs: 0233-1934

Abstract

Abstract : This paper presents exact dual semi-definite programs (SDPs) for robust SOS-convex polynomial optimization problems with affinely adjustable variables in the sense that the optimal values of the robust problem and its associated dual SDP are equal with the solution attainment of the dual problem. This class of robust convex optimization problems includes the corresponding quadratically constrained convex quadratic optimization problems and separable convex polynomial optimization problems, and it employs a general bounded spectrahedron uncertainty set that covers the most commonly used uncertainty sets of numerically solvable robust optimization models, such as boxes, balls and ellipsoids. As special cases, it also demonstrates that explicit exact dual SDP and second-order cone programming (SOCP) in terms of original data hold for the robust two-stage convex quadratic programs with quadratic constraints and the robust two-stage separable convex quadratic programs under an ellipsoidal uncertainty set, respectively. Finally, the paper illustrates the results via numerical implementations of the developed SDP duality scheme on adjustable robust lot-sizing problems with nonlinear costs under demand uncertainty.