  Recent advances in cutting-plane strategies applied to robust optimization
problems show that they are competitive with respect to problem reformulations
and interior-point algorithms. However, although its application with
polyhedral uncertainty sets guarantees convergence, finite termination when
using ellipsoidal uncertainty sets is not theoretically guaranteed. This paper
demonstrates that the cutting-plane algorithm set out for ellipsoidal
uncertainty sets in its more general form also converges in a finite number of
steps.
