1 Inverse Robust Linear Optimisation

We consider the robust linear optimisation problem minx {cT x : Ãx ≥ b, ∀Ã ∈ U} for ellipsoidal uncertainty sets U. Given a
fixed b, a nominal estimate A and an observed solution x̂, we would like to impute an ellipsoidal uncertainty set U such that x̂
is optimal for some nonzero cost vector c.

min cT x
x
s.t. (ai + v)T x ≤ bi ∀v ∈ Ai B

where Ai is a nonsingular n × n matrix and B ⊂ Rn denotes the unit ball. Note that v = Ai w for some w in B so we can
rewrite the constraint in the above optimisation problem as

wT ATi x ≤ bi − aTi x

We can further observe that by the Cauchy-Schwarz inequality we have

wT ATi x ≤ kwkkATi xk ≤ kATi xk

where the second inequality holds because by assumption, w is in the unit ball. Therefore the above robust linear
optimisation problem can be reformulated as the following second order cone programming (SOCP) problem:

min cT x
ATi x
 
s.t. ∈ Ln
aTi x + bi

where Ln = {(x, xn+1 ) : x ∈ Rn , kxk2 ≤ xn+1 } is the Lorenz cone in Rn+1 . Hence given fixed