Inverse conic programming with applications

Inverse conic programming with applications

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Article ID: iaor20051938
Country: Netherlands
Volume: 33
Issue: 3
Start Page Number: 319
End Page Number: 330
Publication Date: May 2005
Journal: Operations Research Letters
Authors: ,
Keywords: programming: integer
Abstract:

Linear programming duality yields efficient algorithms for solving inverse linear programs. We show that special classes of conic programs admit a similar duality and, as a consequence, establish that the corresponding inverse programs are efficiently solvable. We discuss applications of inverse conic programming in portfolio optimization and utility function identification.

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