Symmetric QP and linear programming under primal-dual uncertainty |
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Institution: | University of Illinois at Urbana-Champaign, 305 Mumford Hall, 1301 West Gregory Drive, Urbana, IL 61801, USA |
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Abstract: | A saddle-point formulation of linear programming problems with random objective function and RHS coefficients is proposed. Under a certainty equivalent criterion, a pair of primal-dual deterministic equivalents is derived. These problems are symmetric dual quadratic programs, and can be interpreted as generalizations of the classical mean-variance model. |
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