Random matrix approach for primal-dual portfolio optimization problems.
Daichi TadaHisashi YamamotoTakashi ShinzatoPublished in: CoRR (2017)
Keyphrases
- primal dual
- optimization problems
- linear programming
- convex optimization
- linear programming problems
- linear program
- affine scaling
- interior point methods
- convex optimization problems
- evolutionary algorithm
- convergence rate
- approximation algorithms
- objective function
- simplex algorithm
- variational inequalities
- metaheuristic
- condition number
- cost function
- semidefinite programming
- low rank
- algorithm for linear programming
- interior point algorithm
- interior point
- simplex method
- semidefinite
- convex programming
- multi objective
- knapsack problem
- duality gap
- traveling salesman problem
- optimal solution
- nonlinear programming
- singular value decomposition
- combinatorial optimization
- linear programming relaxation
- dual formulation
- mixed integer
- np hard