Symmetric QP and linear programming under primal-dual uncertainty (Q1099786)
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scientific article; zbMATH DE number 4041636
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| English | Symmetric QP and linear programming under primal-dual uncertainty |
scientific article; zbMATH DE number 4041636 |
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Symmetric QP and linear programming under primal-dual uncertainty (English)
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1987
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A saddle-point formulation of linear programming problems with random objective function and RHS coefficients is proposed. Under a certainty equivalent criterion, a pair of primal-dual deterministic equivalents is derived. These problems are symmetric dual quadratic programs, and can be interpreted as generalizations of the classical mean-variance model.
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certainty equivalent
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generalized mean-variance
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saddle-point formulation of linear programming
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random objective function
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primal-dual deterministic equivalents
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symmetric dual quadratic programs
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0.7706666588783264
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0.7638092637062073
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0.7558249235153198
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