On well-structured convex–concave saddle point problems and variational inequalities with monotone operators

DOI10.1080/10556788.2021.1928121MaRDI QIDQ5058386zbMATH OpenOpenAlexFDO

Authors Arkadi Nemirovski, Anatoli Juditsky

Publication date 20 December 2022

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.01002

zbMATH Keywords

conic problemconvex-concave functionsmonotone vector fields

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

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• General interior-point maps and existence of weighted paths for nonlinear semidefinite complementarity problems.
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• On the implementation and usage of SDPT3 -- a Matlab software package for semidefinite-quadratic-linear programming, version 4.0
• Robust Portfolio Selection Problems
• Solving asymmetric variational inequalities via convex optimization
• Statistical Inference via Convex Optimization
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Cited in

(3)

• On Well-Structured Convex-Concave Saddle Point Problems and Variational Inequalities with Monotone Operators
• Robust bond portfolio construction via convex-concave saddle point optimization
• Optimal spot slides

Describes a project that uses

Uses Software

• CVX
• Mosek
• SDPT3

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