Tuesday, 13:45 - 14:10 h, Room: H 2053


Ferenc Domes
Finding global robust solutions of robust quadratic optimization problems

Coauthor: Alexandre Goldsztejn


In our talk we discuss finding global robust solutions of robust optimization problems having a quadratic cost function and quadratic inequality constraints. The uncertainties in the constraint coefficients are represented using either universal or existential quantified parameters and interval parameter domains. This approach allows to model non-controlled uncertainties by using universally quantified parameters and controlled uncertainties by using existentially quantified parameters. While existentially quantified parameters could be equivalently considered as additional variables, keeping them as parameters allows maintaining the quadratic problem structure, which is essential for our algorithm.
The branch and bound algorithm we present handles both universally and existentially quantified parameters in a homogeneous way without branching on their domains, and uses some dedicated numerical constraint programming techniques for finding the robust, global solution. The algorithm’s worst-case complexity is exponential with respect to the
number of variables only, even in the case of many and/or large parameters uncertainties.


Talk 2 of the invited session Tue.2.H 2053
"Rigorous global optimization" [...]
Cluster 9
"Global optimization" [...]


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