A GUIDE TO CONIC OPTIMISATION AND ITS APPLICATIONS

摘要

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.