Symmetric QP and linear programming under primal-dual uncertainty

DOI10.1016/0167-6377(87)90052-6MaRDI QIDQ1099786zbMATH OpenOpenAlexFDO

Authors Aziz Bouzaher

Publication date 1987

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(87)90052-6

zbMATH Keywords

certainty equivalentgeneralized mean-varianceprimal-dual deterministic equivalentsrandom objective functionsaddle-point formulation of linear programmingsymmetric dual quadratic programs

Mathematics Subject Classification ID

Quadratic programming (90C20) Linear programming (90C05) Stochastic programming (90C15)

Recommendations

• An interior-point trust-region algorithm for quadratic stochastic symmetric programming
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• scientific article; zbMATH DE number 3961339

Cites work

• scientific article; zbMATH DE number 3761788 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Implications of constant risk aversion
• Risk Aversion in the Small and in the Large
• Stochastic programming
• Symmetric dual quadratic programs
• The Entropic Penalty Approach to Stochastic Programming
• The Introduction of Risk into a Programming Model

Cited in

(1)

• An interior-point trust-region algorithm for quadratic stochastic symmetric programming

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