Text

Affinely Adjustable Robust Linear Complementarity Problems

Linear complementarity problems (LCPs) are a powerful tool for modeling many practically relevant situations such as market equilibria. They also connect many subareas of mathematics like game theory, optimization, and matrix theory. Despite their close relation to optimization, the protection of LCPs against uncertainties---especially in the sense of robust optimization---is still in its infancy. During the last years, robust LCPs have only been studied using the notions of strict and Γ-robustness. Unfortunately, both concepts lead to the problem that the existence of robust solutions cannot be guaranteed. In this paper, we consider affinely adjustable robust LCPs. In the latter, a part of the LCP solution is allowed to adjust via a function that is affine in the uncertainty. We show that this notion of robustness allows us to establish strong characterizations of solutions for the cases of uncertain matrix and vector, separately, from which existence results can be derived. Our main results are valid for the case of an uncertain LCP vector. Here, we additionally provide sufficient conditions on the LCP matrix for the uniqueness of a solution. Moreover, based on characterizations of the affinely adjustable robust solutions, we derive a mixed-integer programming formulation that allows us to solve the corresponding robust counterpart. If, in addition, the certain LCP matrix is positive semidefinite, we prove polynomial-time solvability and uniqueness of robust solutions. If the LCP matrix is uncertain, characterizations of solutions are developed for every nominal matrix; i.e., these characterizations are, in particular, independent of the definiteness of the nominal matrix. Robust solutions are also shown to be unique for a positive definite LCP matrix, but both uniqueness and mixed-integer programming formulations still remain open problems if the nominal LCP matrix is not positive definite.

Ketersediaan

Informasi Detail

Judul Seri

SIAM JOURNAL ON OPTIMIZATION; Vol.32 No.1 January-March 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 152-172

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

UNIQUENESS
ROBUST OPTIMIZATION
EXISTENCE
LINEAR COMPLEMENTARITY PROBLEMS
ADJUSTABLE ROBUSTNESS

Info Detail Spesifik

https://doi.org/10.1137/20M1359778

Pernyataan Tanggungjawab

Christian Biefel, Frauke Liers, Jan Rolfes, Martin Schmidt

Versi lain/terkait

Lampiran Berkas

Komentar