An Interior-Point Method for a Class of Saddle-Point Problems |
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Authors: | Halldórsson BV Tütüncü RH |
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Institution: | (1) Informatics Research, Celera Genomics, Rockville, Maryland;(2) Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, Pennsylvania |
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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. |
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Keywords: | Interior-point methods robust optimization portfolio optimization saddle-point problems quadratic programming semidefinite programming |
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