Solving non-linear portfolio optimization problems with the primal-dual interior point method.
Jacek GondzioAndreas GrotheyPublished in: Eur. J. Oper. Res. (2007)
Keyphrases
- primal dual
- interior point methods
- linear programming problems
- interior point algorithm
- convex optimization problems
- optimization problems
- linear programming
- convex programming
- convex optimization
- nonlinear programming
- linear program
- simplex method
- quadratic programming
- semidefinite programming
- variational inequalities
- convergence rate
- combinatorial optimization
- interior point
- evolutionary algorithm
- metaheuristic
- algorithm for linear programming
- approximation algorithms
- inequality constraints
- solving problems
- objective function
- semidefinite
- cost function
- convex functions
- constrained problems
- analytic center
- optimal solution
- feasible solution
- integer program
- dynamical systems
- higher order
- dynamic programming
- multi objective
- special case
- multiresolution