Search Results - subject:"Semidefinite Programming"

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A computational study for bilevel quadratic programs using semidefinite relaxations

Adasme, Pablo; Lisser, Abdel - In: European journal of operational research : EJOR 254 (2016) 1, pp. 9-18

Persistent link: https://www.econbiz.de/10011503163

Rational and real positive semidefinite rank can be different

Fawzi, Hamza; Gouveia, João; Robinson, Richard Z. - In: Operations research letters 44 (2016) 1, pp. 59-60

Persistent link: https://www.econbiz.de/10011455560

Robust growth-optimal portfolios

Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109

Persistent link: https://www.econbiz.de/10011520389

New reformulations of distributionally robust shortest path problem

Cheng, Jianqiang; Leung, Janny; Lisser, Abdel - In: Computers & operations research : and their … 74 (2016), pp. 196-204

Persistent link: https://www.econbiz.de/10011514243

Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems

Kleniati, P. M.; Parpas, Panos; Rustem, Berc - COMISEF - 2009

is an extension to semidefinite programming of the Benders decomposition for linear programs [3] . …

Persistent link: https://www.econbiz.de/10008491701

Bounding Option Prices Using SDP With Change Of Numeraire

Ye, Kai; Parpas, Panos; Rustem, Berc - COMISEF - 2009

solving semidefinite programming (SDP) or linear programming (LP) problems. In this paper, we compare SDP and LP formulations …

Persistent link: https://www.econbiz.de/10008491704

Worst-Case Value-at-Risk of Non-Linear Portfolios

Zymler, Steve; Kuhn, Daniel; Rustem, Berc - COMISEF - 2009

Portfolio optimization problems involving Value-at-Risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are further compounded when the portfolio...

Persistent link: https://www.econbiz.de/10008491707

An unconstrained approach for solving low rank SDP relaxations of {-1,1} quadratic problems

Grippo, Luigi; Palagi, Laura; Piacentini, Mauro; … - Dipartimento di Ingegneria Informatica, Automatica e … - 2009

We consider low-rank semidefinite programming (LRSDP) relaxations of ±1 quadratic problems that can be formulated as …

Persistent link: https://www.econbiz.de/10010597721

On Semidefinite Programming Relaxations of Association Schemes With Application to Combinatorial Optimization Problems

de Klerk, Etienne; Pasechnik, D.V. - Tilburg University, Center for Economic Research - 2009

AMS classification: 90C22, 20Cxx, 70-08

Persistent link: https://www.econbiz.de/10011091737

Full stability in finite-dimensional optimization

Mordukhovich, B. S.; Nghia, T. T. A.; Rockafellar, … - In: Mathematics of operations research 40 (2015) 1, pp. 226-252

Persistent link: https://www.econbiz.de/10010497623

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