On duality for square root convex programs

被引：0
|
作者：
C. H. Scott
T. R. Jefferson
机构：
[1] University of California,Graduate School of Management
[2] University of Florida,Decision and Information Sciences Department, Warrington College of Business
来源：
Mathematical Methods of Operations Research | 2007年 / 65卷
关键词：
Square root functions; Convex programming; Conjugate duality;
D O I：
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学科分类号：
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：9
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