Symmetric QP and linear programming under primal-dual uncertainty

DOI10.1016/0167-6377(87)90052-6zbMATH Open0638.90080OpenAlexW2036090297MaRDI QIDQ1099786FDOQ1099786

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

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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)

Cites Work

• Title not available (Why is that?)
• Risk Aversion in the Small and in the Large
• Stochastic programming
• The Introduction of Risk into a Programming Model
• Symmetric dual quadratic programs
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Title not available (Why is that?)
• Implications of constant risk aversion
• The Entropic Penalty Approach to Stochastic Programming

Cited In (1)

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

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