On the quality of SDP approximations of uncertain SDP programs

Aharon Ben-Tal and Arkadi Nemirovski

Given an uncertain SDP problem with affine uncertainty of ``simple geometry'' (an Euclidean ball, a box or, more generally, a direct product of Euclidean balls), we point out simple SDP approximations of the robust counterpart of the uncertain problem and quantify the quality of these approximations.

Research Report #4/98, Optimization Laboratory, Faculty of Industrial Engineering and Management, Technion - Israel Institute of Technology, Technion City, Haifa 32000, Israel

Contact: nemirovs@ie.technion.ac.il