## Search

Now showing items 11-20 of 57

#### On Newton's method for Huber's robust M-estimation problems in linear regression

(Springer Netherlands, 1998)

The Newton method of Madsen and Nielsen (1990) for computing Huber's robust M-estimate in linear regression is considered. The original method was proved to converge finitely for full rank problems under some additional ...

#### Piecewise-linear pathways to the optimal solution set in linear programming

(Kluwer Academic Publishers - Plenum Publishers, 1997)

This paper takes a fresh look at the application of quadratic penalty functions to linear programming. Recently, Madsen et al. (Ref. 1) described a continuation algorithm for linear programming based on smoothing a dual ...

#### Bound constrained quadratic programming via piecewise quadratic functions

(Springer-Verlag, 1999)

We consider the strictly convex quadratic programming problem with bounded variables. A dual problem is derived using Lagrange duality. The dual problem is the minimization of an unconstrained, piecewise quadratic function. ...

#### A penalty continuation method for the ℓ∞ solution of overdetermined linear systems

(Springer Netherlands, 1998)

A new algorithm for the ℓ∞ solution of overdetermined linear systems is given. The algorithm is based on the application of quadratic penalty functions to a primal linear programming formulation of the ℓ∞ problem. The ...

#### Robust screening under ambiguity

(Springer, 2017)

We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented ...

#### ℓ1 solution of linear inequalities

(Oxford University Press, 1999)

The numerical solution of a possibly inconsistent system of linear inequalities in the ℓ1 sense is considered. The non-differentiable ℓ1 norm minimization problem is approximated by a piecewise quadratic Huber smooth ...

#### Delegated portfolio management under ambiguity aversion

(2014)

We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. Adopting a ...

#### Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming

(Elsevier, 2008-08)

We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state
scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that ...

#### Calibrated American option pricing by stochastic linear programming

(Taylor & Francis, 2013-09-09)

We propose an approach for computing the arbitrage-free interval for the price of an American option in discrete incomplete market models via linear programming. The main idea is built replicating strategies that use both ...