Asymptotic Behaviors of Semidefinite Programming with a Covariance Perturbation

Ming Jie Gao; Ka Fai Cedric Yiu

doi:10.1007/s11590-018-1346-7

Asymptotic Behaviors of Semidefinite Programming with a Covariance Perturbation

Ming Jie Gao, Ka Fai Cedric Yiu

Research output: Journal article publication › Journal article › Academic research › peer-review

1 Citation (Scopus)

Abstract

In this paper, we study asymptotic behaviors of semidefinite programming with a covariance perturbation. We obtain some moderate deviations, Cramér-type moderate deviations and a law of the iterated logarithm of estimates of the respective optimal value and optimal solutions when the covariance matrix is estimated by its sample covariance. As an example, we also apply the main results to the Minimum Trace factor Analysis.

Original language	English
Pages (from-to)	1631-1649
Number of pages	19
Journal	Optimization Letters
Volume	13
Issue number	7
DOIs	https://doi.org/10.1007/s11590-018-1346-7
Publication status	Published - 1 Oct 2019

Keywords

Asymptotic
Law of the iterated logarithm
Minimum trace factor analysis
Moderate deviations
Perturbation
Semidefinite programming

ASJC Scopus subject areas

Control and Optimization

More information

10.1007/s11590-018-1346-7

http://hdl.handle.net/10397/93902

Cite this

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abstract = "In this paper, we study asymptotic behaviors of semidefinite programming with a covariance perturbation. We obtain some moderate deviations, Cram{\'e}r-type moderate deviations and a law of the iterated logarithm of estimates of the respective optimal value and optimal solutions when the covariance matrix is estimated by its sample covariance. As an example, we also apply the main results to the Minimum Trace factor Analysis.",

keywords = "Asymptotic, Law of the iterated logarithm, Minimum trace factor analysis, Moderate deviations, Perturbation, Semidefinite programming",

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KW - Law of the iterated logarithm

KW - Minimum trace factor analysis

KW - Moderate deviations

KW - Perturbation

KW - Semidefinite programming

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Asymptotic Behaviors of Semidefinite Programming with a Covariance Perturbation

Abstract

Keywords

ASJC Scopus subject areas

More information

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