Parallel interior-point solver for structured quadratic programs: Application to financial planning problems

Annals of Operations Research

Volumn 152, Issue 1, 2007, Pages 319-339

  Gondzio, Jacek ^a   Grothey, Andreas ^a  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

Interior point methods; Portfolio optimization; Stochastic programming; Structure exploitation

Indexed keywords

EID: 33847419245     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0139-z     Document Type: Article

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