An Active Set Method for Single-Cone Second-Order Cone Programs

DOI10.1137/040612592MaRDI QIDQ3440217zbMATH OpenOpenAlexFDO

Authors

Publication date 22 May 2007

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/040612592

zbMATH Keywords

active set methoddualityrobust optimizationsecond-order cone programssingle-coneuncertain linear program

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Quadratic programming (90C20) Convex programming (90C25)

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(8)

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• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
• scientific article; zbMATH DE number 7236423 (Why is no real title available?)
• An active-set method for second-order conic-constrained quadratic programming
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management
• A quadratically convergent sequential programming method for second-order cone programs capable of warm starts

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Uses Software

• SeDuMi

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