Minimax-adaptive optimization of linear statistically uncertain models

Аuthors

Pankov A. R., Ignashchenko E. Y.

Moscow Aviation Institute (National Research University), 4, Volokolamskoe shosse, Moscow, А-80, GSP-3, 125993, Russia

Abstract

A quadratic programming problem is discussed in case of optimized model with inexact parameters. Analytical properties of minimax solution are investigated in regard to a given uncertainty set for unknown parameters of the problem. A numerical algorithm is suggested to obtain the minimax solution of the problem. Adaptation techniques are considered as applies to minimax solution. These techniques are based on statistical estimates for uncertain model parameters. Some numerical simulation results are presented.