Robust linear semi-infinite programming duality under uncertainty
Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/10045/36010
Título: | Robust linear semi-infinite programming duality under uncertainty |
---|---|
Autor/es: | Goberna, Miguel A. | Jeyakumar, Vaithilingam | Li, Guoyin | López Cerdá, Marco A. |
Grupo/s de investigación o GITE: | Laboratorio de Optimización (LOPT) |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Estadística e Investigación Operativa |
Palabras clave: | Robust optimization | Semi-infinite linear programming | Parameter uncertainty | Robust duality | Convex programming |
Área/s de conocimiento: | Estadística e Investigación Operativa |
Fecha de publicación: | jun-2013 |
Editor: | Springer |
Cita bibliográfica: | Mathematical Programming. 2013, 139(1-2): 185-203. doi:10.1007/s10107-013-0668-6 |
Resumen: | In this paper, we propose a duality theory for semi-infinite linear programming problems under uncertainty in the constraint functions, the objective function, or both, within the framework of robust optimization. We present robust duality by establishing strong duality between the robust counterpart of an uncertain semi-infinite linear program and the optimistic counterpart of its uncertain Lagrangian dual. We show that robust duality holds whenever a robust moment cone is closed and convex. We then establish that the closed-convex robust moment cone condition in the case of constraint-wise uncertainty is in fact necessary and sufficient for robust duality. In other words, the robust moment cone is closed and convex if and only if robust duality holds for every linear objective function of the program. In the case of uncertain problems with affinely parameterized data uncertainty, we establish that robust duality is easily satisfied under a Slater type constraint qualification. Consequently, we derive robust forms of the Farkas lemma for systems of uncertain semi-infinite linear inequalities. |
Patrocinador/es: | This research was partially supported by ARC Discovery Project DP110102011 of Australia and by MINECO of Spain, Grant MTM2011-29064-C03-02. |
URI: | http://hdl.handle.net/10045/36010 |
ISSN: | 0025-5610 (Print) | 1436-4646 (Online) |
DOI: | 10.1007/s10107-013-0668-6 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | The original publication is available at www.springerlink.com |
Revisión científica: | si |
Versión del editor: | http://dx.doi.org/10.1007/s10107-013-0668-6 |
Aparece en las colecciones: | INV - LOPT - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
---|---|---|---|---|
2013_Goberna_etal_MathProgram.pdf | Versión revisada (acceso abierto) | 197,65 kB | Adobe PDF | Abrir Vista previa |
2013_Goberna_etal_MathProgram-final.pdf | Versión final (acceso restringido) | 214,58 kB | Adobe PDF | Abrir Solicitar una copia |
Todos los documentos en RUA están protegidos por derechos de autor. Algunos derechos reservados.