5 citations · 5 across the 2 of their papers we have counts for
2 papers
math.OC2022★ 5 cited
Computing conjugate barrier information for nonsymmetric cones
Lea Kapelevich, Erling D. Andersen, Juan Pablo Vielma
The recent interior point algorithm by Dahl and Andersen [10] for nonsymmetric cones as well as earlier works [16,19] require derivative information from the conjugate of the barri…
q-fin.PM2013
Regression techniques for Portfolio Optimisation using MOSEK
Thomas Schmelzer, Raphael Hauser, Erling Andersen +1
Regression is widely used by practioners across many disciplines. We reformulate the underlying optimisation problem as a second-order conic program providing the flexibility often…