Conjugate function theory is used to develop dual programs for nonseparable convex programs involving the square root function. This function arises naturally in finance when one measures the risk of a portfolio by its variance–covariance matrix, in stochastic programming under chance...

Conjugate function theory is used to develop dual programs for nonseparable convex programs involving the square root function. This function arises naturally in finance when one measures the risk of a portfolio by its variance–covariance matrix, in stochastic programming under chance...

The tolerance approach to sensitivity analysis allows for simultaneous and independent variations of the elements of a column or a row of the coefficient matrix in a standard linear programming problem. In particular, the approach yields a maximum tolerance percentage within which the elements...