A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs (Q408205)

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A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs
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    A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs (English)
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    29 March 2012
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    The authors propose a parametric optimal level solutions method to solve the class of rank-two nonconvex programs by determining the minima of particular subproblems. The optimal solutions of the subproblems are obtained by means of a sensitivity analysis aimed at maintaining the Karush-Kuhn-Tucker optimality conditions. Some computational results are provided to illustrate the performance of the proposed algorithm. The proposed solution method is shown to apply to a real application in portfolio and risk theory.
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    generalized quadratic programming
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    low rank structures
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    optimal level solutions
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    global optimization
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    numerical examples
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    nonconvex programs
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    sensitivity analysis
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    Karush-Kuhn-Tucker optimality conditions
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    algorithm
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    portfolio and risk theory
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