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Now showing items 21-30 of 57

#### Special issue on “Non-linear continuous optimization”

(Springer, 2015-02-15)

This special issue contains five papers dedicated to Nonlinear Continuous Optimization. All these contributions went through a strict and detailed refereeing process, and
were revised according to the strict high standards ...

#### A characterization of the optimal set of linear programs based on the augmented lagrangian

(Taylor & Francis, 1999)

It is proved that in a certain neighborhood of the optimal set of multipliers, the set of minimizers of the augmented lagrangian nmction generates a new characterization of the optimal solution set of the linear program.

#### Restoration of space-variant global blurs caused by severe camera movements and coordinate distortions

(IOP Science, 1998)

We show that a broad class of image recovery problems where an object undergoing an arbitrary two-dimensional, time- and space-variant, non-separable, nonlinear global coordinate distortion, is imaged for a certain duration, ...

#### Optimal allocation with costly inspection and discrete types under ambiguity

(Taylor & Francis, 2017)

We consider the following problem: a principal has a good to allocate among a collection of agents who attach a private value to receiving the good. The principal, instead of using monetary transfers (i.e. charging the ...

#### The robust Merton problem of an ambiguity averse investor

(Springer, 2017)

We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. Confidence is here represented using ellipsoidal uncertainty sets for ...

#### Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

(Springer, 2014-01-09)

We consider the problem of optimal portfolio choice using the Conditional
Value-at-Risk (CVaR) and Value-at-Risk (VaR) measures for a market
consisting of n risky assets and a riskless asset and where short positions ...

#### On closed-form solutions of a resource allocation problem in parallel funding of R & D projects

(Elsevier, 2000)

In order to reduce the risk of complete failure, research managers often adopt a parallel strategy by simultaneously funding several R&D activities and several research teams within each activity. The parallel strategy ...

#### Duality in robust linear regression using Huber's M-estimator

(Elsevier, 1997-07)

The robust linear regression problem using Huber's piecewise-quadratic M-estimator
function is considered. Without exception, computational algorithms for this problem have been
primal in nature. In this note, a dual ...

#### Continuation method for nonlinear complementarity problems via normal maps

(Elsevier, 1999)

In a recent paper by Chen and Mangasarian (C. Chen, O.L. Mangasarian, A class of smoothing functions for
nonlinear and mixed complementarity problems, Computational Optimization and Applications 2 (1996), 97±138) a
class ...

#### Equilibrium in an ambiguity-averse mean-variance investors market

(Elsevier, 2014-09-16)

In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is ...