An interior-point method for a class of saddle-point problems

An interior-point method for a class of saddle-point problems

We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters....

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Veröffentlicht in:Journal of optimization theory and applications 2003-03, Vol.116 (3), p.559-590
Hauptverfasser: HALLDORSSON, B. V, TÜTÜNÜ, R. H
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Applied sciences
Exact sciences and technology
Mathematical programming
Operational research and scientific management
Operational research. Management science
Optimization
Portfolio theory
Probability distribution
Quadratic programming
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Beschreibung
Zusammenfassung:We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters. As an application of our approach, we discuss a robust formulation of the Markowitz portfolio selection model.
ISSN:0022-3239
1573-2878
DOI:10.1023/A:1023065319772