Stochastic Separated Continuous Conic Programming: Strong Duality and a Solution Method

We study a new class of optimization problems called stochastic separated continuous conic programming (SSCCP). SSCCP is an extension to the optimization model called separated continuous conic programming (SCCP) which has applications in robust optimization and sign-constrained linear-quadratic con...

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Veröffentlicht in:Mathematical problems in engineering Jg. 2014; H. 1
1. Verfasser: Wang, Xiaoqing
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York Hindawi Publishing Corporation 01.01.2014
John Wiley & Sons, Inc
Schlagworte:
Algorithms
Approximation
Conics
Discretization
Euclidean space
Linear programming
Mathematical analysis
Mathematical models
Mathematical problems
Optimization
Optimization models
Polynomials
Programming
Random variables
Robust control
Stochasticity
ISSN:1024-123X, 1563-5147
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Beschreibung
Zusammenfassung:We study a new class of optimization problems called stochastic separated continuous conic programming (SSCCP). SSCCP is an extension to the optimization model called separated continuous conic programming (SCCP) which has applications in robust optimization and sign-constrained linear-quadratic control. Based on the relationship among SSCCP, its dual, and their discretization counterparts, we develop a strong duality theory for the SSCCP. We also suggest a polynomial-time approximation algorithm that solves the SSCCP to any predefined accuracy.
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ISSN:1024-123X
1563-5147
DOI:10.1155/2014/896591