19 Bibliography

AA95

E. D. Andersen and K. D. Andersen. Presolving in linear programming. Math. Programming, 71(2):221–245, 1995.

AGMeszarosX96

E. D. Andersen, J. Gondzio, Cs. Mészáros, and X. Xu. Implementation of interior point methods for large scale linear programming. In T. Terlaky, editor, Interior-point methods of mathematical programming, pages 189–252. Kluwer Academic Publishers, 1996.

ART03

E. D. Andersen, C. Roos, and T. Terlaky. On implementing a primal-dual interior-point method for conic quadratic optimization. Math. Programming, February 2003.

AY96

E. D. Andersen and Y. Ye. Combining interior-point and pivoting algorithms. Management Sci., 42(12):1719–1731, December 1996.

And09

Erling D. Andersen. The homogeneous and self-dual model and algorithm for linear optimization. Technical Report TR-1-2009, MOSEK ApS, 2009. URL: http://docs.mosek.com/whitepapers/homolo.pdf.

And13

Erling D. Andersen. On formulating quadratic functions in optimization models. Technical Report TR-1-2013, MOSEK ApS, 2013. Last revised 23-feb-2016. URL: http://docs.mosek.com/whitepapers/qmodel.pdf.

BTN00

A. Ben-Tal and A. Nemirovski. Robust solutions of linear programming problems contaminated with uncertain data. Math. Programming, 88(3):411–424, 2000.

BKVH07

S. Boyd, S.J. Kim, L. Vandenberghe, and A. Hassibi. A Tutorial on Geometric Programming. Optimization and Engineering, 8(1):67–127, 2007. Available at http://www.stanford.edu/ boyd/gp_tutorial.html.

Chvatal83

V. Chvátal. Linear programming. W.H. Freeman and Company, 1983.

GK00

Richard C. Grinold and Ronald N. Kahn. Active portfolio management. McGraw-Hill, New York, 2 edition, 2000.

Naz87

J. L. Nazareth. Computer Solution of Linear Programs. Oxford University Press, New York, 1987.

RTV97

C. Roos, T. Terlaky, and J. -Ph. Vial. Theory and algorithms for linear optimization: an interior point approach. John Wiley and Sons, New York, 1997.

Wal00

S. W. Wallace. Decision making under uncertainty: is sensitivity of any use. Oper. Res., 48(1):20–25, January 2000.

Wol98

L. A. Wolsey. Integer programming. John Wiley and Sons, 1998.

BenTalN01

A. Ben-Tal and A. Nemirovski. Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications. MPS/SIAM Series on Optimization. SIAM, 2001.