Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study
DOI10.1007/s10287-015-0243-0zbMath1427.90272OpenAlexW2185808789MaRDI QIDQ1789594
Alexander Martin, Sebastian Pokutta, Andreas Bärmann, Andreas Heidt, Christoph Thurner
Publication date: 10 October 2018
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-015-0243-0
approximationmixed integer programmingportfolio optimizationrobust optimizationextended formulationssecond-order cone optimization
Mixed integer programming (90C11) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Approximation methods and heuristics in mathematical programming (90C59)
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Cites Work
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