Robust Optimization for Models with Uncertain Second-Order Cone and Semidefinite Programming Constraints

Abstract

In this paper, we consider uncertain second-order cone (SOC) and semidefinite programming (SDP) constraints with polyhedral uncertainty, which are in general computationally intractable. We propose to reformulate an uncertain SOC or SDP constraint as a set of adjustable robust linear optimization constraints with an ellipsoidal or semidefinite representable uncertainty set, respectively. The resulting adjustable problem can then (approximately) be solved by using adjustable robust linear optimization techniques. For example, we show that if linear decision rules are used, then the final robust counterpart consists of SOC or SDP constraints, respectively, which have the same computational complexity as the nominal version of the original constraints. We propose an efficient method to obtain good lower bounds. Moreover, we extend our approach to other classes of robust optimization problems, such as nonlinear problems that contain wait-and-see variables, linear problems that contain bilinear uncertainty, and general conic constraints. Numerically, we apply our approach to reformulate the problem on finding the minimum volume circumscribing ellipsoid of a polytope and solve the resulting reformulation with linear and quadratic decision rules as well as Fourier-Motzkin elimination. We demonstrate the effectiveness and efficiency of the proposed approach by comparing it with the state-of-the-art copositive approach. Moreover, we apply the proposed approach to a robust regression problem and a robust sensor network problem and use linear decision rules to solve the resulting adjustable robust linear optimization problems, which solve the problem to (near) optimality. Summary of Contribution: Computing robust solutions for nonlinear optimization problems with uncertain second-order cone and semidefinite programming constraints are of much interest in real-life applications, yet they are in general computationally intractable. This paper proposes a computationally tractable approximation for such problems. Extensive computational experiments on (i) computing the minimum volume circumscribing ellipsoid of a polytope, (ii) robust regressions, and (iii) robust sensor networks are conducted to demonstrate the effectiveness and efficiency of the proposed approach.