Linear Programming Foundations and Extensions(3rd).pdf

It has been almost seven years since the 2nd edition appeared and the publisher is itching for me to finish a new edition. The previous edition had very few typos. I have fixed them all! Of course, I’ve also added some new material and who knows how many new typos I’ve introduced. The most significant new material is contained in a new chapter on financial applications, which discusses a linear programming variant of the portfolio selection problem and option pricing. I am grateful to Alex d’Aspremont for pointing out that the option pricing problem provides a nice application of duality theory. Finally, I’d like to acknowledge the fact that half (four out of eight) of the typos were reported to me by Trond Steihaug. Thanks Trond!