## Robust Convex Quadratically Constrained Programs (2002)

Venue: | Mathematical Programming |

Citations: | 18 - 2 self |

### BibTeX

@ARTICLE{Goldfarb02robustconvex,

author = {D. Goldfarb and G. Iyengar},

title = {Robust Convex Quadratically Constrained Programs},

journal = {Mathematical Programming},

year = {2002},

volume = {97},

pages = {495--515}

}

### OpenURL

### Abstract

In this paper we study robust convex quadratically constrained programs, a subset of the class of robust convex programs introduced by Ben-Tal and Nemirovski [4]. Unlike [4], our focus in this paper is to identify uncertainty structures that allow the corresponding robust quadratically constrained programs to be reformulated as second-order cone programs. We propose three classes of uncertainty sets that satisfy this criterion and present examples where these classes of uncertainty sets are natural. 1 Problem formulation A generic quadratically constrained program (QCP) is defined as follows.