<p>Are there any mainstream economic models that rely on conic optimization to solve for decision variables? Conic optimization is a type of convex optimization problem, different from linear and quadratic programming. Any leads would be helpful</p>

CC BY-SA 4.0
2020-12-12T17:00:05.473Z
I see your two posts regarding some advanced, but non-standard methods in economics. I genuinely hope you get feedback on the matter. However, for the most part, it is worth checking out some advanced texts in maths for economists; but also whether conic programming would make sense in economics more generally? Why it would be superior to standard methods?
EB3112
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2020-12-12T18:28:00.197Z
yes non-economics says it would be better. but i want to know about actual applications
develarist
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2020-12-12T18:48:03.950Z
I guess my response would be why would a non-economist say it's 'better'? By which criterion, and applied to which fields? Those are my observations. It may be for example that simply the barriers to entry with that kinda math may be too high, and the so-called benefits, may outweigh the costs?
EB3112
CC BY-SA 4.0
2020-12-12T18:50:02.173Z
conic optimization is no harder to implement than quadratic programming, which is used in economics. there are no barriers to entry. only conceptual need for application
develarist
CC BY-SA 4.0
2020-12-12T18:50:56.617Z
This leads me to ask then, what are the primary benefits of the method?
EB3112
CC BY-SA 4.0
2020-12-12T18:51:32.793Z
I think it has to do with the conic shape of the optimization surface guaranteeing a global minimum, moreso than a quadratic surface
develarist
CC BY-SA 4.0
2020-12-12T18:55:20.087Z
Fair. Potentially in economics it may not be adopted because the really challenging problems such as minimising economic costs from environmental damage, or from a pandemic,  may not lend themselves to the methods so easily?
EB3112
CC BY-SA 4.0
2020-12-12T18:55:54.063Z
If anyone else knows about conic optimization problems found in economics let me know
develarist
CC BY-SA 4.0
2020-12-12T19:42:11.393Z
I hadn't heard of this technique before, but from a quick search in Google I found [this paper by Letchford & Parkes](http://www.cs.nott.ac.uk/~pszajp/pubs/conic-guide.pdf) which mentions (p 11) an application relating to the Markowitz portfolio selection model.
Adam Bailey
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2020-12-12T20:00:29.097Z
Why is this not just standard convex analysis?
Jesper Hybel
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2020-12-12T23:21:16.827Z
they're all convex analysis, but that's not the point https://en.wikipedia.org/wiki/Convex_optimization#Examples
develarist
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2020-12-15T15:50:41.460Z
The consumer problem of maximizing a concave utility function on the budget line- the intersection of the affine space of vectors whose price equals income with the cone $\mathbb{R}^n_+$ is an obvious example.
Michael Greinecker
<optimization><linear-programming>
Conic optimization in economics
develarist
# Conic optimization in economics

(Asked by: username_0 on 2020-12-12)

Are there any mainstream economic models that rely on conic optimization to solve for decision variables? Conic optimization is a type of convex optimization problem, different from linear and quadratic programming. Any leads would be helpful

**Tags:** optimization, linear-programming

> **Comments:**
> **username_1**: I see your two posts regarding some advanced, but non-standard methods in economics. I genuinely hope you get feedback on the matter. However, for the most part, it is worth checking out some advanced texts in maths for economists; but also whether conic programming would make sense in economics more generally? Why it would be superior to standard methods?  
> **username_0**: yes non-economics says it would be better. but i want to know about actual applications  
> **username_1**: I guess my response would be why would a non-economist say it's 'better'? By which criterion, and applied to which fields? Those are my observations. It may be for example that simply the barriers to entry with that kinda math may be too high, and the so-called benefits, may outweigh the costs?  
> **username_0**: conic optimization is no harder to implement than quadratic programming, which is used in economics. there are no barriers to entry. only conceptual need for application  
> **username_1**: This leads me to ask then, what are the primary benefits of the method?  
> **username_0**: I think it has to do with the conic shape of the optimization surface guaranteeing a global minimum, moreso than a quadratic surface  
> **username_1**: Fair. Potentially in economics it may not be adopted because the really challenging problems such as minimising economic costs from environmental damage, or from a pandemic,  may not lend themselves to the methods so easily?  
> **username_0**: If anyone else knows about conic optimization problems found in economics let me know  
> **username_2**: I hadn't heard of this technique before, but from a quick search in Google I found [this paper by Letchford & Parkes](http://www.cs.nott.ac.uk/~pszajp/pubs/conic-guide.pdf) which mentions (p 11) an application relating to the Markowitz portfolio selection model.  
> **username_3**: Why is this not just standard convex analysis?  
> **username_0**: they're all convex analysis, but that's not the point https://en.wikipedia.org/wiki/Convex_optimization#Examples  
> **username_4**: The consumer problem of maximizing a concave utility function on the budget line- the intersection of the affine space of vectors whose price equals income with the cone $\mathbb{R}^n_+$ is an obvious example.  

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## 0 answers

