Inverse conic programming with applications
نویسندگان
چکیده
Linear programming duality yields e,cient 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 e,ciently solvable. We discuss applications of inverse conic programming in portfolio optimization and utility function identi0cation. c © 2004 Elsevier B.V. All rights reserved.
منابع مشابه
CORC Technical Report TR-2003-02 Inverse conic programming and applications
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 inver...
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 33 شماره
صفحات -
تاریخ انتشار 2005