On duality for square root convex programs

被引：2
|
作者：
Scott, C. H. [1 ]
Jefferson, T. R.
机构：
[1] Univ Calif Irvine, Grad Sch Management, Irvine, CA 92697 USA
[2] Univ Florida, Warrington Coll Business, Dept Informat & Decis Sci, Gainesville, FL 32611 USA
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2007年 / 65卷 / 01期
关键词：
square root functions; convex programming; conjugate duality;
D O I：
10.1007/s00186-006-0101-5
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Conjugate function theory is used to develop dual programs for nonseparable convex programs involving the square root function. This function arises naturally in finance when one measures the risk of a portfolio by its variance-covariance matrix, in stochastic programming under chance constraints and in location theory.
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页码：75 / 84
页数：10
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