Article ID Journal Published Year Pages File Type
10524110 Operations Research Letters 2005 12 Pages PDF
Abstract
Linear programming duality yields efficient 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 efficiently solvable. We discuss applications of inverse conic programming in portfolio optimization and utility function identification.
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Authors
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