Sums of Squares Polynomial Program Reformulations for Adjustable Robust Linear Optimization Problems with Separable Polynomial Decision Rules

Autor: V. Jeyakumar, J. H. Lee, G. M. Lee, G. Li, D. Woolnough
Rok vydání: 2022
Předmět:
Zdroj: Set-Valued and Variational Analysis. 30:1363-1380
ISSN: 1877-0541
1877-0533
DOI: 10.1007/s11228-022-00648-x
Popis: We show that adjustable robust linear programs with affinely adjustable box data uncertainties under separable polynomial decision rules admit exact sums of squares (SOS) polynomial reformulations. These problems share the same optimal values and admit a one-to-one correspondence between the optimal solutions. A sum of squares representation of non-negativity of a separable non-convex polynomial over a box plays a key role in the reformulation. This reformulation allows us to find adjustable robust solutions of uncertain linear programs under box data uncertainty by numerically solving their associated equivalent SOS polynomial optimization problem using semi-definite linear programming. We illustrate how the quality of the adjustable robust solution of a robust optimization problem with polynomial decision rules improves as the degree of the polynomial increases. Our results demonstrate that the adjustable robust solutions approach the actual optimal solution as the degree of the polynomial increases from one to fifteen.
Databáze: OpenAIRE
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