Polyhedral approximation of ellipsodial uncertainty sets via extended formulations : a computational case study
Andreas Bärmann, Andreas Heidt, Alexander Martin, Sebastian Pokutta, Christoph Thurner
| Year of publication: |
April 2016
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| Authors: | Bärmann, Andreas ; Heidt, Andreas ; Martin, Alexander ; Pokutta, Sebastian ; Thurner, Christoph |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 13.2016, 2, p. 151-193
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| Subject: | Robust optimization | Approximation | Extended formulations | Second-order cone optimization | Mixed-integer programming | Portfolio optimization | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Ganzzahlige Optimierung | Integer programming | Robustes Verfahren | Robust statistics | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Band 14 (2017), 2 (April), Seite 293-296 |
| Other identifiers: | 10.1007/s10287-015-0243-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011669260