A new approach to co-ordinate distributed, worse-case scenario, linear quadratic optimization problems
Keywords:
worse-case scenario LQ; distributed optimization; decomposition; price-driven co-ordinationAbstract
A new approach for price driven coordination, large-scale, worst-case scenario linear quadratic optimization problems is presented. The approach is based on a reformulation of the dual problem associated
with the centralized robust optimization problem and to modify the co-ordination scheme in order to
incorporate determination of the worst-case scenario. The convergence of the algorithm is proven and
is guaranteed when the uncertainty set, the objective function and the constraints satisfy some specic
properties.
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