Statistical Inference of Second-Order Cone Programming

被引：1
|
作者：
Wang, Jiani [1 ]
Zhang, Liwei [1 ]
机构：
[1] Dalian Univ Technol, Sch Math Sci, Dalian 116024, Peoples R China
来源：
ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH | 2018年 / 35卷 / 06期
基金：
中国国家自然科学基金;
关键词：
Second-order cone programming; the problem of minimizing a sum of weighted norms; constraint nondegeneracy; statistical inference; asymptotics;
D O I：
10.1142/S0217595918500446
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The randomness of the second-order cone programming problems is mainly reflected in the objective function and the constraints both having random vectors. In this paper, we discuss the statistical properties of estimates of the respective optimal value and optimal solutions when the random vectors are estimated by their sample both in the objective function and the constraints, which are based on perturbation analysis theory of second-order cone programming. As an example we consider the problem of minimizing a sum of norms with weights.
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页数：14
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