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: | Iyengar Garud, Kang Wanmo |
Keywords: | programming: integer |
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.