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A universal and structured way to derive dual optimization problem formulations

Author

Listed:
  • Roos, Kees
  • Balvert, Marleen

    (Tilburg University, School of Economics and Management)

  • Gorissen, Bram L.

    (Tilburg University, School of Economics and Management)

  • Den Hertog, Dick

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Roos, Kees & Balvert, Marleen & Gorissen, Bram L. & Den Hertog, Dick, 2020. "A universal and structured way to derive dual optimization problem formulations," Other publications TiSEM 05ef7486-5fe1-46ec-8313-9, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:05ef7486-5fe1-46ec-8313-9b5d739af3b3
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    Cited by:

    1. José L. Vilar-Zanón & Barbara Rogo, 2024. "Pricing and Hedging Contingent Claims by Entropy Segmentation and Fenchel Duality," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-20, December.
    2. Abbas Khademi & Ahmadreza Marandi & Majid Soleimani-damaneh, 2024. "A new dual-based cutting plane algorithm for nonlinear adjustable robust optimization," Journal of Global Optimization, Springer, vol. 89(3), pages 559-595, July.

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