Index

A

absolute value, [1], [2]

adjacency matrix

B

basis pursuit, [1] big-M, [1]

binary optimization, [1] binary variable Boolean operator

C

cardinality constraint Cholesky factorization, [1], [2] complementary slackness condition number cone convex distance to dual exponential p-order power product projection quadratic, [1] rotated quadratic, [1] second-order self-dual semidefinite

conic quadratic optimization constraint disjunctive indicator redundant constraint attribution constraint satisfaction convex cone function set covariance matrix, [1] CQO curve fitting cut

D

determinant disjunctive constraint dual cone function, [1] norm problem, [1], [2]

duality conic gap linear, [1] quadratic, [1] strong, [1] weak, [1] dynamical system

E

eigenvalue optimization ellipsoid, [1], [2], [3] entropy maximization relative, [1]

epigraph exponential cone function optimization

F

factor model, [1], [2] Farkas lemma, [1], [2], [3], [4] feasibility feasible set, [1], [2] Fermat-Torricelli point filter design function concave convex dual, [1] entropy exponential, [1] Lagrange, [1], [2], [3], [4] Lambert W logarithm, [1] lower semicontinuous piecewise linear, [1] power, [1], [2], [3] sigmoid softplus

G

geometric mean, [1], [2] geometric median

geometric programming GP Grammian matrix

H

halfspace harmonic mean Hermitian matrix hitting time

homogenization, [1] Huber loss hyperplane hypograph

I

ill-posed, [1], [2], [3] indicator constraint variable infeasibility certificate, [1], [2], [3], [4], [5] locating

inner product matrix integer variable inventory

K

Kullback-Leiber divergence, [1]

L

Lagrange function, [1], [2], [3], [4] Lambert W function limit-feasibility linear matrix inequality, [1], [2] near dependence optimization linear matrix inequality, [1], [2]

linear-fractional problem LMI, [1], [2] LO log-determinant log-sum-exp log-sum-inv logarithm, [1] logistic regression lowpass filter

M

Markowitz model matrix adjacency correlation covariance, [1] Grammian Hermitian inner product positive definite pseudo-inverse, [1] semidefinite, [1], [2] variable

MAX-CUT maximum, [1], [2], [3] maximum likelihood, [1] mean geometric harmonic MIO monomial

N

nearest correlation matrix network design wireless, [1] norm 1-norm, [1] 2-norm dual Euclidean Frobenius infinity norm nuclear p-norm, [1]

normal equation

O

objective objective function optimal value, [1] unattainment, [1] optimization binary boolean eigenvalue exponential linear mixed integer p-order cone power cone practical quadratic robust semidefinite

overflow

P

penalization perturbation piecewise linear function regression pOCO polyhedron, [1], [2] polynomial curve fitting nonnegative, [1], [2] trigonometric, [1], [2] portfolio optimization cardinality constraint constraint attribution covariance matrix, [1] duality factor model, [1], [2] fully invested, [1] market impact Markowitz model risk factor exposure risk parity Sharpe ratio trading size transaction costs

posynomial power, [1] power cone optimization power control precision, [1] principal submatrix pseudo-inverse, [1]

Q

QCQO, [1] QO, [1] quadratic cone duality, [1] optimization rotated cone

quadratic optimization, [1]

R

rate allocation redundant constraints regression linear logistic piecewise linear regularization

regularization relative entropy, [1] relaxation semidefinite, [1], [2] Riesz-Fejer Theorem risk parity robust optimization rotated quadratic cone

S

scaling Schur complement, [1], [2], [3] SDO second-order cone, [1] semicontinuous variable semidefinite cone optimization relaxation, [1], [2] set covering packing partitioning setup cost shadow price

Sharpe ratio sigmoid signal processing signal-to-noise singular value, [1] Slater constraint qualification, [1], [2] SOCO softplus SOS1 SOS2 spectrahedron spectral factorization, [1], [2] spectral radius sum of squares, [1] symmetry breaking

T

trading size

transaction costs trigonometric polynomial, [1], [2]

U

unattainment

V

variable binary indicator integer matrix semicontinuous

verification violation volume, [1]