A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs

DOI10.1016/j.cam.2012.01.004zbMath1239.65033OpenAlexW2089117333MaRDI QIDQ408205

Riccardo Cambini, Claudio Sodini

Publication date: 29 March 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.004

zbMATH Keywords

algorithmglobal optimizationsensitivity analysisnumerical examplesKarush-Kuhn-Tucker optimality conditionsgeneralized quadratic programminglow rank structuresnonconvex programsoptimal level solutionsportfolio and risk theory

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Quadratic programming (90C20) Portfolio theory (91G10)

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A parametric solution algorithm for a class of rank-two nonconvex programs

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