Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524110 | Operations Research Letters | 2005 | 12 Pages |
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
Garud Iyengar, Wanmo Kang,