Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study (Q1789594)
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scientific article; zbMATH DE number 6950365
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| English | Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study |
scientific article; zbMATH DE number 6950365 |
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Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study (English)
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10 October 2018
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robust optimization
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approximation
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extended formulations
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second-order cone optimization
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mixed integer programming
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portfolio optimization
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0.7907103896141052
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0.7846507430076599
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0.7825431823730469
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0.7824594974517822
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0.7746865153312683
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