A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
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Publication:4018363
DOI10.15807/jorsj.35.93zbMath0763.90004MaRDI QIDQ4018363
Hiroshi Konno, Ken-ichi Suzuki
Publication date: 16 January 1993
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15807/jorsj.35.93
90C06: Large-scale problems in mathematical programming
90C90: Applications of mathematical programming
90C20: Quadratic programming
90-08: Computational methods for problems pertaining to operations research and mathematical programming
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