Inverse conic programming with applications

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dc.contributor.authorIyengar, Gko
dc.contributor.authorKang, Wanmoko
dc.date.accessioned2010-11-16T01:34:37Z-
dc.date.available2010-11-16T01:34:37Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2005-05-
dc.identifier.citationOPERATIONS RESEARCH LETTERS, v.33, no.3, pp.319 - 330-
dc.identifier.issn0167-6377-
dc.identifier.urihttp://hdl.handle.net/10203/19984-
dc.description.abstractLinear 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.sponsorshipThe authors would like to thank the anonymous referees and Donald Goldfarb for valuable comments.en
dc.languageEnglish-
dc.language.isoen_USen
dc.publisherELSEVIER SCIENCE BV-
dc.titleInverse conic programming with applications-
dc.typeArticle-
dc.identifier.wosid000226143900016-
dc.identifier.scopusid2-s2.0-10044263010-
dc.type.rimsART-
dc.citation.volume33-
dc.citation.issue3-
dc.citation.beginningpage319-
dc.citation.endingpage330-
dc.citation.publicationnameOPERATIONS RESEARCH LETTERS-
dc.identifier.doi10.1016/j.orl.2004.04.007-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorKang, Wanmo-
dc.contributor.nonIdAuthorIyengar, G-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorinverse optimization-
dc.subject.keywordAuthorconic programming-
dc.subject.keywordAuthorportfolio optimization-
dc.subject.keywordAuthorutility function identification-
dc.subject.keywordAuthorinverse optimization-
dc.subject.keywordAuthorconic programming-
dc.subject.keywordAuthorportfolio optimization-
dc.subject.keywordAuthorutility function identification-
dc.subject.keywordPlusOPTIMIZATION-
dc.subject.keywordPlusALGORITHM-
dc.subject.keywordPlusOPTIMIZATION-
dc.subject.keywordPlusALGORITHM-
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