Now showing items 21-30 of 57
Special issue on “Non-linear continuous optimization”
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
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
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
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
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
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
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 ...