Extending the Scope of Robust Quadratic Optimization

We derive computationally tractable formulations of the robust counterparts of convex quadratic and conic quadratic constraints that are concave in matrix-valued uncertain parameters. We do this for a broad range of uncertainty sets. Our results provide extensions to known results from the literature. We also consider hard quadratic constraints: those that are convex in uncertain matrix-valued parameters. For the robust counterpart of such constraints, we derive inner and outer tractable approximations. As an application, we show how to construct a natural uncertainty set based on a statistical confidence set around a sample mean vector and covariance matrix and use this to provide a tractable reformulation of the robust counterpart of an uncertain portfolio optimization problem. We also apply the results of this paper to norm approximation problems.

Summary of Contribution: This paper develops new theoretical results and algorithms that extend the scope of a robust quadratic optimization problem. More specifically, we derive computationally tractable formulations of the robust counterparts of convex quadratic and conic quadratic constraints that are concave in matrix-valued uncertain parameters. We also consider hard quadratic constraints: those that are convex in uncertain matrix-valued parameters. For the robust counterpart of such constraints, we derive inner and outer tractable approximations.