DC Field | Value | Language |
---|---|---|
dc.contributor.author | Iyengar, G | ko |
dc.contributor.author | Kang, Wanmo | ko |
dc.date.accessioned | 2010-11-16T01:34:37Z | - |
dc.date.available | 2010-11-16T01:34:37Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2005-05 | - |
dc.identifier.citation | OPERATIONS RESEARCH LETTERS, v.33, no.3, pp.319 - 330 | - |
dc.identifier.issn | 0167-6377 | - |
dc.identifier.uri | http://hdl.handle.net/10203/19984 | - |
dc.description.abstract | 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. | - |
dc.description.sponsorship | The authors would like to thank the anonymous referees and Donald Goldfarb for valuable comments. | en |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Inverse conic programming with applications | - |
dc.type | Article | - |
dc.identifier.wosid | 000226143900016 | - |
dc.identifier.scopusid | 2-s2.0-10044263010 | - |
dc.type.rims | ART | - |
dc.citation.volume | 33 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 319 | - |
dc.citation.endingpage | 330 | - |
dc.citation.publicationname | OPERATIONS RESEARCH LETTERS | - |
dc.identifier.doi | 10.1016/j.orl.2004.04.007 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kang, Wanmo | - |
dc.contributor.nonIdAuthor | Iyengar, G | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | inverse optimization | - |
dc.subject.keywordAuthor | conic programming | - |
dc.subject.keywordAuthor | portfolio optimization | - |
dc.subject.keywordAuthor | utility function identification | - |
dc.subject.keywordPlus | OPTIMIZATION | - |
dc.subject.keywordPlus | ALGORITHM | - |
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