4 papers
A predictor-corrector algorithm for semidefinite programming that uses the factor width cone
Felix Kirschner, Etienne de Klerk
We propose an interior point method (IPM) for solving semidefinite programming problems (SDPs). The standard interior point algorithms used to solve SDPs work in the space of posit…
Construction of multivariate polynomial approximation kernels via semidefinite programming
Felix Kirschner, Etienne de Klerk
In this paper we construct a hierarchy of multivariate polynomial approximation kernels via semidefinite programming. We give details on the implementation of the semidefinite prog…
Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives
Didier Henrion, Felix Kirschner, Etienne de Klerk +3
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only…
Convergence rates of RLT and Lasserre-type hierarchies for the generalized moment problem over the simplex and the sphere
Felix Kirschner, Etienne de Klerk
We consider the generalized moment problem (GMP) over the simplex and the sphere. This is a rich setting and it contains NP-hard problems as special cases, like constructing optima…