Continuous Optimization Reading Seminar - Nargiz Kalantarova

Wednesday, February 7, 2018 4:00 pm - 4:00 pm EST (GMT -05:00)

Title: Robust Convex Optimization 

Speaker: Nargiz Kalantarova
Affiliation: University of Waterloo
Room: MC 5479


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.