CORC Technical Report TR-2003-02 Inverse conic programming and applications
نویسندگان
چکیده
The past decade has seen a growing interest in inverse optimization. It has been shown that duality yields very efficient algorithms for solving inverse linear programming problems. In this paper, we consider a special class of conic programs that admits a similar duality and show that the corresponding inverse optimization problems are efficiently solvable. We discuss the applications of inverse conic programming in portfolio optimization, inverse quadratically constrained quadratic programming and utility function identification.
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