Duality for programs involving non-separable objective functions

DOI10.1080/00207728808964086MaRDI QIDQ3801362zbMATH OpenOpenAlexFDO

Authors T. R. Jefferson, Carlton H. Scott, Soheila Jorjani

Publication date 1988

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728808964086

zbMATH Keywords

conjugate functionsgeometric mean portfolio modelnon-separable objective functions

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Convex programming (90C25) Nonlinear programming (90C30)

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Cites work

• A Strategy Which Maximizes the Geometric Mean Return on Portfolio Investments
• Geometric Programming

Cited in

(8)

• Fenchel-Lagrange duality versus geometric duality in convex optimization
• Structure and interpretation of dual-feasible functions
• On duality for square root convex programs
• Duality for max-separable problems
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• A Duality Theory for Separated Continuous Linear Programs

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