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The Algebraic Structure of the Arbitrary-Order Cone

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  • Baha Alzalg

    (The University of Jordan)

Abstract

We study and analyze the algebraic structure of the arbitrary-order cones. We show that, unlike popularly perceived, the arbitrary-order cone is self-dual for any order greater than or equal to 1. We establish a spectral decomposition, consider the Jordan algebra associated with this cone, and prove that this algebra forms a Euclidean Jordan algebra with a certain inner product. We generalize some important notions and properties in the Euclidean Jordan algebra of the second-order cone to the Euclidean Jordan algebra of the arbitrary-order cone.

Suggested Citation

  • Baha Alzalg, 2016. "The Algebraic Structure of the Arbitrary-Order Cone," Journal of Optimization Theory and Applications, Springer, vol. 169(1), pages 32-49, April.
    • Handle: RePEc:spr:joptap:v:169:y:2016:i:1:d:10.1007_s10957-016-0878-1
    DOI: 10.1007/s10957-016-0878-1
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    References listed on IDEAS

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    1. Krokhmal, Pavlo A. & Soberanis, Policarpio, 2010. "Risk optimization with p-order conic constraints: A linear programming approach," European Journal of Operational Research, Elsevier, vol. 201(3), pages 653-671, March.
    2. PAVLO A. Krokhmal, 2007. "Higher moment coherent risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 373-387.
    3. F. Glineur & T. Terlaky, 2004. "Conic Formulation for l p -Norm Optimization," Journal of Optimization Theory and Applications, Springer, vol. 122(2), pages 285-307, August.
    4. Alexander Vinel & Pavlo Krokhmal, 2014. "On Valid Inequalities for Mixed Integer p-Order Cone Programming," Journal of Optimization Theory and Applications, Springer, vol. 160(2), pages 439-456, February.
    5. Luca Bertazzi & Francesca Maggioni, 2015. "Solution Approaches for the Stochastic Capacitated Traveling Salesmen Location Problem with Recourse," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 321-342, July.
    6. F. Maggioni & F. A. Potra & M. I. Bertocchi & E. Allevi, 2009. "Stochastic Second-Order Cone Programming in Mobile Ad Hoc Networks," Journal of Optimization Theory and Applications, Springer, vol. 143(2), pages 309-328, November.
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    Cited by:

    1. Xin-He Miao & Yen-chi Roger Lin & Jein-Shan Chen, 2017. "A Note on the Paper “The Algebraic Structure of the Arbitrary-Order Cone”," Journal of Optimization Theory and Applications, Springer, vol. 173(3), pages 1066-1070, June.

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