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An Interior-Point Method for a Class of Saddle-Point Problems
Authors:Halldórsson  BV  Tütüncü  RH
Institution:(1) Informatics Research, Celera Genomics, Rockville, Maryland;(2) Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, Pennsylvania
Abstract:We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters. As an application of our approach, we discuss a robust formulation of the Markowitz portfolio selection model.
Keywords:Interior-point methods  robust optimization  portfolio optimization  saddle-point problems  quadratic programming  semidefinite programming
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