Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
752165 | Systems & Control Letters | 2009 | 10 Pages |
Abstract
This paper proposes a new computational method to verify the exactness of upper-bound relaxations for robust semidefinite programs. A recursive algorithm is provided that derives, from a dual optimal variable, a candidate of worst-case uncertainties that proves the exactness of an upper-bound relaxation. The algorithm is guaranteed to extract a set of true worst-case uncertainties if the dual optimal variable satisfies a rank condition, which relaxes the rank-one assumption in the previous methods. Numerical examples are provided to illustrate the algorithm that certifies exactness of upper-bound relaxations.
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Authors
Izumi Masubuchi, Carsten W. Scherer,