一类鲁棒凸优化的Mond-Weir型逼近对偶性

Mond-Weir Type Approximate Duality for a Class of Robust Convex Optimization

通过引入一类含有不确定信息的凸约束优化问题,先借助鲁棒优化方法,建立该不确定凸约束优化问题的Mond-Weir型鲁棒逼近对偶问题,再借助一类广义鲁棒逼近KKT条件,刻画该不确定凸约束优化问题与其Mond-Weir型鲁棒逼近对偶问题之间的逼近对偶性关系.

By introducing a class of convex constrained optimization problems with uncertain data, we first established a Mond-Weir type robust approximate dual problem for the uncertain convex constrained optimization problem by means of robust optimization method. Then, by means of a class of generalized robust-type approximate KKT conditions, we characterized approximate duality relationship between the uncertain convex constrained optimization problem and its Mond\|Weir type robust approximate dual problem.