Abstract:We consider the robust standard quadratic optimization problem (RStQP), in which an uncertain (possibly indefinite) quadratic form is optimized over the standard simplex. Following most approaches, we model the uncertainty sets by balls, polyhedra, or spectrahedra, more generally, by ellipsoids or order intervals intersected with subcones of the copositive matrix cone. We show that the copositive relaxation gap of the RStQP equals the minimax gap under some mild assumptions on the curvature of the aforemention… Show more
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