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Quantitative Finance · Begrippenlijst

Wat is Linear, quadratic, second-order cone and semidefinite programmes?

Ook bekend als: linear programme · quadratic programme · second-order cone programme · semidefinite programme

Definition 23.9 Quantitative Methods · Hoofdstuk 23 — Convex Optimisation

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 ∥Aix+bi∥2≤ci⊤x+di\lVert A_ix + b_i\rVert_2 \le c_i^\top x + d_i; a semidefinite programme constrains a symmetric matrix depending affinely on xx to be positive semidefinite.

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