A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs (Q408205)
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scientific article; zbMATH DE number 6019380
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| English | A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs |
scientific article; zbMATH DE number 6019380 |
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A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs (English)
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29 March 2012
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The authors propose a parametric optimal level solutions method to solve the class of rank-two nonconvex programs by determining the minima of particular subproblems. The optimal solutions of the subproblems are obtained by means of a sensitivity analysis aimed at maintaining the Karush-Kuhn-Tucker optimality conditions. Some computational results are provided to illustrate the performance of the proposed algorithm. The proposed solution method is shown to apply to a real application in portfolio and risk theory.
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generalized quadratic programming
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low rank structures
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optimal level solutions
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global optimization
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numerical examples
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nonconvex programs
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sensitivity analysis
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Karush-Kuhn-Tucker optimality conditions
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algorithm
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portfolio and risk theory
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0.8862112760543823
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0.8131779432296753
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0.7763028144836426
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0.7465906739234924
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