کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
478701 | 1446132 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk optimization with p-order conic constraints: A linear programming approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The paper considers solving of linear programming problems with p-order conic constraints that are related to a certain class of stochastic optimization models with risk objective or constraints. The proposed approach is based on construction of polyhedral approximations for p-order cones, and then invoking a Benders decomposition scheme that allows for efficient solving of the approximating problems. The conducted case study of portfolio optimization with p-order conic constraints demonstrates that the developed computational techniques compare favorably against a number of benchmark methods, including second-order conic programming methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 201, Issue 3, 16 March 2010, Pages 653–671
Journal: European Journal of Operational Research - Volume 201, Issue 3, 16 March 2010, Pages 653–671
نویسندگان
Pavlo A. Krokhmal, Policarpio Soberanis,