Title: Robust Convex Optimization
|Affiliation:||University of Waterloo|
We continue our study of convex optimization problems with uncertain data by discussing the paper by Ben-Tal and Nemirovski, 'Robust Convex Optimization'. We show that if the uncertain data belongs to an ellipsoidal uncertainty set then for some of the most generic convex optimization problems the corresponding robust convex program is exactly a tractable problem which can be solved by efficient algorithms.
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