Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study
type: Item
instance of: scholarly article
title: Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study
zbMATH Open document ID: 1427.90272
author: Andreas Bärmann
author: Andreas Heidt
author: Alexander Martin
author: Sebastian Pokutta
author: Christoph Thurner
published in: Computational Management Science
publication date: 2018-10-10T00:00:00Z
Mathematics Subject Classification ID: 90C31
Mathematics Subject Classification ID: 90C59
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 90C11
zbMATH DE Number: 6950365
zbMATH Keywords: robust optimization
zbMATH Keywords: approximation
zbMATH Keywords: extended formulations
zbMATH Keywords: second-order cone optimization
zbMATH Keywords: mixed integer programming
zbMATH Keywords: portfolio optimization
describes a project that uses: Gurobi
describes a project that uses: SNDlib
describes a project that uses: PLCP
describes a project that uses: MIPLIB
describes a project that uses: Boost C++ Libraries
describes a project that uses: Boost
MaRDI profile type: Publication
full work available at URL: s10287-015-0243-0
OpenAlex ID: W2185808789
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DOI: 10.1007/S10287-015-0243-0
description: scientific article; zbMATH DE number 6950365