Inverse conic programming with applications

Authors:
Garud Iyengar;Wanmo Kang
Affiliations:
IEOR Department, Columbia University, USA;IEOR Department, Columbia University, USA
Venue:
Operations Research Letters
Year:
2005

Citing 13
Cited 4

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Inverse Optimization

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Robust portfolio selection problems

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Inverse problems and solution methods for a class of nonlinear complementarity problems

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On linear programs with linear complementarity constraints

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Inverse Optimization: A New Perspective on the Black-Litterman Model

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Branch-and-bound algorithms for the partial inverse mixed integer linear programming problem

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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.