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Mathematical optimization
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Words: 2k
Articles: 104
Mathematical optimization studies extrema under constraints.
Table of contents
2k
104
Lagrange sufficiency theorem
Mathematical optimization
22
Dynamic programming
Mathematical optimization
51
2
Bellman equation
Dynamic programming
13
Value function
Dynamic programming
19
Newton method
Mathematical optimization
42
1
Quadratic convergence bound for Newton's method
Newton method
31
Karush-Kuhn-Tucker conditions
Mathematical optimization
75
1
Active-set transition in capped resource allocation
Karush-Kuhn-Tucker conditions
39
Convex optimization
Mathematical optimization
136
4
Subdifferential
Convex optimization
27
Stiemke theorem
Convex optimization
45
Projected gradient descent
Convex optimization
53
1
Averaged projected-gradient bound
Projected gradient descent
35
Lagrange multiplier
Mathematical optimization
76
2
Derivative of a constrained value function
Lagrange multiplier
22
Weighted open-box minimization
Lagrange multiplier
37
Arithmetic-geometric mean inequality
Mathematical optimization
15
Linear programming
Mathematical optimization
467
20
Basic feasible solution
Linear programming
87
1
Fundamental theorem of linear programming
Basic feasible solution
45
Linear-fractional programming
Linear programming
42
1
Charnes-Cooper transformation
Linear-fractional programming
27
Linear programming duality
Linear programming
273
13
Dual linear program
Linear programming duality
21
Dual of a minimization linear program in inequality form
Linear programming duality
21
Weak duality
Linear programming duality
11
Complementary slackness
Linear programming duality
19
Transportation problem
Linear programming duality
184
8
Transportation polytope
Transportation problem
36
1
Transportation spanning tree
Transportation polytope
21
Transportation simplex algorithm
Transportation problem
83
3
Northwest corner method
Transportation simplex algorithm
22
Reduced cost
Transportation simplex algorithm
18
Cycle pivot
Transportation simplex algorithm
24
Integrality of the transportation problem
Transportation problem
50
1
Totally unimodular matrix
Integrality of the transportation problem
31
Simplex method
Linear programming
53
1
Simplex paths on a cube with one truncated corner
Simplex method
35
Convex set
Mathematical optimization
346
17
Nonnegative orthant
Convex set
22
Convex combination
Convex set
43
1
Cyclic symmetry averaging
Convex combination
28
Closed half-space
Convex set
23
Line segment
Convex set
11
Convex polytope
Convex set
20
Extreme point
Convex set
21
Euclidean projection onto a convex set
Convex set
34
1
Variational characterization of convex projection
Euclidean projection onto a convex set
12
Second-order cone
Convex set
28
1
Projection onto the second-order cone
Second-order cone
14
Convex hull
Convex set
48
1
Caratheodory theorem
Convex hull
24
Positive semidefinite cone
Convex set
86
3
Trace constraint
Positive semidefinite cone
71
2
Positive semidefinite trace ball
Trace constraint
53
1
Projection onto a positive semidefinite trace ball
Positive semidefinite trace ball
27
Game theory
Mathematical optimization
286
14
Mixed strategy
Game theory
12
Bimatrix game
Game theory
71
2
Nash equilibrium
Bimatrix game
55
1
Brouwer proof of Nash equilibrium for a two-by-two game
Nash equilibrium
33
Zero-sum game
Game theory
176
8
Matrix game
Zero-sum game
122
4
Matrix-game optimization problem
Matrix game
11
Mixed-strategy optimality certificate for a matrix game
Matrix game
42
Symmetric inverse formula for a matrix-game equilibrium
Matrix game
42
1
Three-card threshold-sum zero-sum game
Symmetric inverse formula for a matrix-game equilibrium
21
Minimax theorem
Zero-sum game
16
Optimal mixed strategy
Zero-sum game
15
Antisymmetric zero-sum game
Zero-sum game
10
Dominated strategy
Game theory
19
Mathematical finance
Mathematical optimization
890
30
Arbitrage
Mathematical finance
49
1
Self-financing portfolio
Arbitrage
30
Utility function
Mathematical finance
141
4
Expected utility maximization
Utility function
124
3
Utility indifference price
Expected utility maximization
30
Optimized affine shift of concave utility
Expected utility maximization
50
Scaled centered risk under concave utility
Expected utility maximization
30
Discrete-time expected-utility portfolio problem
Mathematical finance
79
2
Bellman equation for terminal-wealth utility
Discrete-time expected-utility portfolio problem
53
1
Monotonicity and concavity of a portfolio value function
Bellman equation for terminal-wealth utility
40
Equivalent martingale measure
Mathematical finance
32
Discrete-time binomial market
Mathematical finance
218
4
Risk-neutral probability in a binomial market
Discrete-time binomial market
38
Replicating portfolio in a binomial market
Discrete-time binomial market
78
1
Backward option pricing
Replicating portfolio in a binomial market
39
Stock-numeraire measure in a binomial market
Discrete-time binomial market
61
Fundamental theorem of asset pricing
Mathematical finance
178
6
Finite-state superhedging alternative
Fundamental theorem of asset pricing
33
European call option
Fundamental theorem of asset pricing
89
3
Put-call parity
European call option
12
Binomial call-price recursion
European call option
25
Forward-start call option
European call option
37
European put option
Fundamental theorem of asset pricing
21
American option
Mathematical finance
46
1
American put option
American option
25
Mean-variance optimization
Mathematical finance
136
4
Mean-variance efficient ray
Mean-variance optimization
18
Gaussian one-fund theorem
Mean-variance optimization
75
Pareto dominance in mean-variance space
Mean-variance optimization
20
Mean-variance portfolio regression
Mean-variance optimization
11
Positive-definite quadratic optimization
Mathematical optimization
42
1
Orthogonal decomposition in a positive-definite metric
Positive-definite quadratic optimization
21
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Area of mathematics
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