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math.OC2017
Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra
Alper Atamturk, Andres Gomez
We consider minimizing a conic quadratic objective over a polyhedron. Such problems arise in parametric value-at-risk minimization, portfolio optimization, and robust optimization…
math.OC2017
Submodularity in conic quadratic mixed 0-1 optimization
Alper Atamturk, Andres Gomez
We describe strong convex valid inequalities for conic quadratic mixed 0-1 optimization. These inequalities can be utilized for solving numerous practical nonlinear discrete optimi…