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