Improved Decision Rule Approximations for Multi-Stage Robust Optimization via Copositive Programming release_6on2gzpnpjbuhdnft4our64mfa

by Guanglin Xu, Grani A. Hanasusanto

References

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Since Ru and the vectors Rows(Φ) belong to SOC(K r ), we have Φ Ru ≥ 0 (as a second-order cone is self-dual). This further implies that u ⊤ P ⊤ Φ Ru = ( P u) ⊤ (Φ Ru)
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