Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra
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Publication:2281450
DOI10.1007/s12532-018-0152-7zbMath1435.90097arXiv1706.05795OpenAlexW2963067467WikidataQ128894739 ScholiaQ128894739MaRDI QIDQ2281450
Publication date: 19 December 2019
Published in: Mathematical Programming Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.05795
quadratic programmingsimplex methodportfolio optimizationrobust optimizationvalue-at-risk minimizationconic quadratic optimizationwarm starts
Mixed integer programming (90C11) Quadratic programming (90C20) Extreme-point and pivoting methods (90C49)
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Uses Software
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