interior-point solver

Log-domain interior-point methods for convex quadratic programming

  • Frank Permenter
    • Categories Convex Optimization, Linear Programming, Quadratic Programming Tags , ,

    Applying an interior-point method to the central-path conditions is a widely used approach for solving quadratic programs. Reformulating these conditions in the log-domain is a natural variation on this approach that to our knowledge is previously unstudied. In this paper, we analyze log-domain interior-point methods and prove their polynomial-time convergence. We also prove that they … Read more

    Asset-Liability Management Modelling with Risk Control by Stochastic Dominance

  • Jacek Gondzio
  • Andreas Grothey
  • Xi Yang
    • Categories Finance and Economics, Parallel Algorithms, Stochastic Programming Tags , , ,

    An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is presented in this paper. The basic model involves multiperiod decisions (portfolio rebalancing) and deals with the usual uncertainty of investment returns and future liabilities. Therefore it is well-suited to a stochastic programming approach. A stochastic dominance concept is applied to measure … Read more