期刊
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
卷 116, 期 3, 页码 559-590出版社
KLUWER ACADEMIC/PLENUM PUBL
DOI: 10.1023/A:1023065319772
关键词
interior-point methods; robust optimization; portfolio optimization; saddle-point problems; quadratic programming; semidefinite programming
We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters. As an application of our approach, we discuss a robust formulation of the Markowitz portfolio selection model.
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