Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
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DOI: 10.1007/s10479-006-0139-z
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Cited by:
- Jens Hübner & Martin Schmidt & Marc C. Steinbach, 2020. "Optimization techniques for tree-structured nonlinear problems," Computational Management Science, Springer, vol. 17(3), pages 409-436, October.
- Cosmin Petra & Mihai Anitescu, 2012. "A preconditioning technique for Schur complement systems arising in stochastic optimization," Computational Optimization and Applications, Springer, vol. 52(2), pages 315-344, June.
- Zdeněk Dostál & Lukáš Pospíšil, 2016. "Optimal iterative QP and QPQC algorithms," Annals of Operations Research, Springer, vol. 243(1), pages 5-18, August.
- Fábián, Csaba I., 2008. "Handling CVaR objectives and constraints in two-stage stochastic models," European Journal of Operational Research, Elsevier, vol. 191(3), pages 888-911, December.
- Frank E. Curtis & Arvind U. Raghunathan, 2017. "Solving nearly-separable quadratic optimization problems as nonsmooth equations," Computational Optimization and Applications, Springer, vol. 67(2), pages 317-360, June.
- Xi Yang & Jacek Gondzio & Andreas Grothey, 2010. "Asset liability management modelling with risk control by stochastic dominance," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 73-93, June.
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Keywords
Structure exploitation; Stochastic programming; Portfolio optimization; Interior point methods;All these keywords.
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