3. Publications of general interest


Convex optimization

  1. Stephen Boyd and Lieven Vandenberghe, Convex optimization, Cambridge University Press, 2004. http://www.stanford.edu/~boyd/cvxbook/.
  2. A. Ben-Tal and A Nemirovski, Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications, MPS/SIAM Series on Optimization, SIAM, 2001

Conic quadratic optimization

  1. F. Alizadeh and D. Goldfarb, Second-order cone programming, Math. Programming 95(1):3--51, 2003

Integer optimization

  1. D. Bertsimas and R. Weismantel, Optimization over integers, Dynamic Ideas, 2005. http://www.dynamic-ideas.com.
  2. L. A. Wolsey, Integer programming, John Wiley and Sons, 1998

Portfolio optimization

A large number of the MOSEK users employs for financial applications.

  1. Gerard Cornuejols and Reha Tutuncu, Optimization methods in finance, Cambridge University Press, New York, 2007
  2. M. S. Lobo, M. Fazel, and S. Boyd, Portfolio optimization with linear and fixed transaction costs, 2005. To appear in Annals of Operations Research. http://www.cds.caltech.edu/~maryam/portfolio.html.
  3. Bernd Scherer, Portfolio construction and risk budgeting, Risk Books, 2004
Mon Jun 8 10:06:37 2009