Symmetric QP and linear programming under primal-dual uncertainty

DOI10.1016/0167-6377(87)90052-6zbMath0638.90080OpenAlexW2036090297MaRDI QIDQ1099786

Aziz Bouzaher

Publication date: 1987

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(87)90052-6

zbMATH Keywords

certainty equivalentgeneralized mean-variancerandom objective functionprimal-dual deterministic equivalentssaddle-point formulation of linear programmingsymmetric dual quadratic programs

Mathematics Subject Classification ID

Quadratic programming (90C20) Linear programming (90C05) Stochastic programming (90C15)

Cites Work

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• Stochastic programming
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• The Introduction of Risk into a Programming Model
• The Entropic Penalty Approach to Stochastic Programming
• Implications of constant risk aversion
• Symmetric dual quadratic programs
• Risk Aversion in the Small and in the Large

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