Inverse conic programming with applications

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Linear programming duality yields efficient algorithms for solving inverse linear programs. We show that special classes of conic programs admit a similar duality and, as a consequence, establish that the corresponding inverse programs are efficiently solvable. We discuss applications of inverse conic programming in portfolio optimization and utility function identification. (C) 2004 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2005-05
Language
English
Article Type
Article
Citation

OPERATIONS RESEARCH LETTERS, v.33, no.3, pp.319 - 330

ISSN
0167-6377
DOI
10.1016/j.orl.2004.04.007
URI
http://hdl.handle.net/10203/19984
Appears in Collection
MA-Journal Papers(저널논문)
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