Polyhedral approximations inp-order cone programming

DOI10.1080/10556788.2013.877905zbMath1306.90155MaRDI QIDQ2926080

Alexander Vinel, Pavlo A. Krokhmal

Publication date: 29 October 2014

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2013.877905

zbMATH Keywords

stochastic programming; polyhedral approximation; portfolio optimization; second-order cone programming; cutting-plane methods; \(p\)-order cone programming; mixed-integer \(p\)-order cone programming

Mathematics Subject Classification ID

90C30: Nonlinear programming

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