Skip to main content
Log in

On duality for square root convex programs

  • Original Article
  • Published:
Mathematical Methods of Operations Research Aims and scope Submit manuscript

Abstract

Conjugate function theory is used to develop dual programs for nonseparable convex programs involving the square root function. This function arises naturally in finance when one measures the risk of a portfolio by its variance–covariance matrix, in stochastic programming under chance constraints and in location theory.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Avriel M, Diewert WE, Schaible S, Zang I (1988) Generalized concavity. Plenum Press, New York

    MATH  Google Scholar 

  • Chandra S, Craven BD, Mond B (1985) Generalized concavity and duality with a square root term. Optimization 16(5):653–652

    MATH  MathSciNet  Google Scholar 

  • Kall P, Wallace SW (1994) Stochastic programming. Wiley, New York

    MATH  Google Scholar 

  • Mond B (1974) A class of nondifferentiable mathematical programming problem. J Math Anal Appl 46:169–174

    Article  MATH  MathSciNet  Google Scholar 

  • Peterson EL (1976) Geometric programming. SIAM Rev 18:1–52

    Article  MATH  MathSciNet  Google Scholar 

  • Preda V (1992) On generalized convexity and duality with a square root term. ZOR 36:547–563

    MATH  MathSciNet  Google Scholar 

  • Rockafellar RT (1970) Convex analysis. Princeton University Press, Princeton, New Jersey

    MATH  Google Scholar 

  • Scott CH, Jefferson TR, Jorjani S (1988) Duality for programs involving nonseparable objective functions. Int J Syst Sci 19:1911–1918

    MATH  MathSciNet  Google Scholar 

  • Scott CH, Jefferson TR, Jorjani S (1995) Conjugate duality in facility location. In: Drezner Z (ed) Facility location. Springer, Berlin Heidelberg New York, pp 89–101

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to C. H. Scott.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Scott, C.H., Jefferson, T.R. On duality for square root convex programs. Math Meth Oper Res 65, 75–84 (2007). https://doi.org/10.1007/s00186-006-0101-5

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s00186-006-0101-5

Keywords

Navigation