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Sample-based minimax linear-quadratic optimization | IEEE Conference Publication | IEEE Xplore

Sample-based minimax linear-quadratic optimization


Abstract:

The method of sample-based minimax optimization is developed for the minimization problem with an uncertain quadratic objective function subject to linear constraints. Se...Show More

Abstract:

The method of sample-based minimax optimization is developed for the minimization problem with an uncertain quadratic objective function subject to linear constraints. Several examples based on confidence statistical estimation are considered to define the uncertainty set. Analytical and numerical techniques are proposed for finding the optimal robust strategy.
Date of Conference: 23-26 August 2009
Date Added to IEEE Xplore: 02 April 2015
Print ISBN:978-3-9524173-9-3
Conference Location: Budapest, Hungary

References

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