Stochastic Separated Continuous Conic Programming: Strong Duality and a Solution Method
2014 ◽
Vol 2014
◽
pp. 1-20
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Keyword(s):
We study a new class of optimization problems calledstochastic separated continuous conic programming(SSCCP). SSCCP is an extension to the optimization model calledseparated 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.
2004 ◽
Vol 8
(2)
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pp. 131-140
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2018 ◽
Vol 13
(01)
◽
pp. 2050020