An Interior-Point Method for a Class of Saddle-Point Problems

B.V. Halldórsson and R.H. Tütüncü
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B.V. Halldórsson: Informatics Research, Celera Genomics
R.H. Tütüncü: Carnegie Mellon University

Journal of Optimization Theory and Applications, 2003, vol. 116, issue 3, No 5, 559-590

Abstract: Abstract We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters. As an application of our approach, we discuss a robust formulation of the Markowitz portfolio selection model.

Keywords: Interior-point methods; robust optimization; portfolio optimization; saddle-point problems; quadratic programming; semidefinite programming (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (7)

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DOI: 10.1023/A:1023065319772

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