Pareto Robust optimization on Euclidean vector spaces

Submission Status:under review
  • Pareto efficiency for robust linear programs was introduced by Iancu and Trichakis in [9]. We generalize their approach and theoretical results to robust optimization problems in Euclidean spaces with linear uncertainty. Additionally, we demonstrate the value of this approach in an exemplary manner in the area of robust semidefinite programming (SDP). In particular, we prove that computing a Pareto robustly optimal solution for a robust SDP is tractable and illustrate the benefit of such solutions at the example of the maximal eigenvalue problem. Furthermore, we modify the famous algorithm of Goemans and Williamson [8] in order to compute cuts for the robust max cut problem that yield an improved approximation guarantee in non-worst-case scenarios.

Download full text files

Export metadata

Author:Dennis Adelhütte, Christitan Biefel, Martina Kuchlbauer, Jan Rolfes
Document Type:Preprint
Date of Publication (online):2021/09/07
Release Date:2021/09/08
Institutes:Friedrich-Alexander-Universität Erlangen-Nürnberg
Licence (German):License LogoCreative Commons - CC BY-NC-SA - Namensnennung - Nicht kommerziell - Weitergabe unter gleichen Bedingungen 4.0 International