A linear programme minimises a linear function subject to linear constraints; a quadratic programme has a convex quadratic objective and linear constraints; a second-order cone programme (SOCP) adds constraints ; a semidefinite programme constrains a symmetric matrix depending affinely on to be positive semidefinite.
Quantitative Finance · Glossaire
Qu'est-ce que « Linear, quadratic, second-order cone and semidefinite programmes » ?
Aussi appelé : linear programme · quadratic programme · second-order cone programme · semidefinite programme