Interwoven SDP in Primal-Dual Proximal Splitting Methods for Adjustable Robust Convex Optimisation with SOS-Convex Polynomial Constraints

Neil D. Dizon, Bethany I. Caldwell, Vaithilingam Jeyakumar +1

We propose a novel methodology for solving a two-stage adjustable robust convex optimisation problem with a general (proximable) convex objective function and constraints defined b…