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A guide to conic optimisation and its applications

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>11/2018
<mark>Journal</mark>RAIRO Operations Research
Issue number4
Volume52
Number of pages20
Pages (from-to)1087-1106
Publication statusPublished
Early online date22/11/18
Original languageEnglish

Abstract

Most OR academics and practitioners are familiar with linear programming (LP) and its applications. Many are however unaware of conic optimisation, which is a powerful generalisation of LP, with a prodigious array of important real-life applications. In this invited paper, we give a gentle introduction to conic optimisation, followed by a survey of applications in OR and related areas. Along the way, we try to help the reader develop insight into the strengths and limitations of conic optimisation as a tool for solving real-life problems.