A Minimax Theorem with Applications to Machine Learning, Signal Processing, and Finance

DOI10.1137/060677586zbMath1175.90412OpenAlexW2070002549MaRDI QIDQ3395019

Seung-Jean Kim, Stephen P. Boyd

Publication date: 20 August 2009

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060677586

zbMATH Keywords

convex optimizationminimax theoremrobust optimizationportfolio selectionmatch filtering

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Minimax problems in mathematical programming (90C47) Other game-theoretic models (91A40) Portfolio theory (91G10)

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Uses Software

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