Search Results - subject:"Semidefinite programming"

Efficient positive semidefinite matrix approximation by iterative optimisations and gradient descent method

Asimit, Vali; Wang, Runshi; Zhou, Feng; Rui, Zhu - In: Risks : open access journal 13 (2025) 2, pp. 1-25

We devise two algorithms for approximating solutions of PSDisation, a problem in actuarial science and finance, to find the nearest valid correlation matrix that is positive semidefinite (PSD). The first method converts the PSDisation problem with a positive semidefinite constraint and other...

Persistent link: https://www.econbiz.de/10015333751

Semidefinite games

Ickstadt, Constantin; Theobald, Thorsten; Tsigaridas, Elias - In: International journal of game theory 53 (2024) 3, pp. 827-857

Persistent link: https://www.econbiz.de/10015189082

On the clique decomposition impact to the optimal power flow semidefinite relaxation solve time

Ricaux, Victor; Legrain, Antoine; Lesage-Landry, Antoine - 2024

Persistent link: https://www.econbiz.de/10015145597

On solving MAX-SAT using sum of squares

Sinjorgo, Lennart; Sotirov, Renata - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 417-433

Persistent link: https://www.econbiz.de/10014532298

Semidefinite games

Ickstadt, Constantin; Theobald, Thorsten; Tsigaridas, Elias - In: International Journal of Game Theory 53 (2024) 3, pp. 827-857

semidefinite programming. Furthermore, we show that two-player semidefinite zero-sum games are almost equivalent to semidefinite … programming, generalizing Dantzig’s result on the almost equivalence of bimatrix games and linear programming. For general two …

Persistent link: https://www.econbiz.de/10015358427

Strong SDP based bounds on the cutwidth of a graph

Gaar, Elisabeth; Puges, Diane; Wiegele, Angelika - In: Computers & operations research : an international journal 161 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014559232

A tight compact quadratically constrained convex relaxation of the Optimal Power Flow problem

Lambert, Amélie - In: Computers & operations research : an international journal 166 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014564997

Optimal allocation of demand response considering transmission system congestion

Neves-Motta, Vinicius; Anjos, Miguel F.; Gendreau, Michel - In: Computational management science 20 (2023) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014393337

Conic optimization with applications in finance and approximation theory

Kirschner, Felix - 2023

Persistent link: https://www.econbiz.de/10014301389

Revisiting semidefinite programming approaches to options pricing : complexity and computational perspectives

Henrion, Didier; Kirschner, Felix; Klerk, Etienne de; … - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 2, pp. 335-349

Persistent link: https://www.econbiz.de/10014327623