Now showing items 51-57 of 57
Joint mixability of some integer matrices
(Elsevier B.V.Elsevier BV, 2016)
We study the problem of permuting each column of a given matrix to achieve minimum maximal row sum or maximum minimal row sum, a problem of interest in probability theory and quantitative finance where quantiles of a random ...
Finite computation of the ℓ 1estimator from Huber's M-estimator in linear regression
We review and extend previous work on the approximation of the linear ℓ 1 estimator by the Huber M-estimator based on the algorithms proposed by Clark and Osborne, and Madsen and Nielsen. Although the Madsen-Nielsen algorithm ...
Non-linear pricing by convex duality
We consider the pricing problem of a risk-neutral monopolist who produces (at a cost) and offers an infinitely divisible good to a single potential buyer that can be of a finite number of (single dimensional) types. The ...
The robust spanning tree problem with interval data
Motivated by telecommunications applications we investigate the minimum spanning tree problem where edge costs are interval numbers. Since minimum spanning trees depend on the realization of the edge costs, we de5ne the ...
Robust profit opportunities in risky financial portfolios
For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single- and multiple-period settings. We show that the problem of finding the ...
On the S-procedure and some variants
We give a concise review and extension of S-procedure that is an instrumental tool in control theory and robust optimization analysis. We also discuss the approximate S-Lemma as well as its applications in robust optimization.
On semidefinite bounds for maximization of a non-convex quadratic objective over the ℓ1 unit ball
(E D P Sciences, 2006)
We consider the non-convex quadratic maximization problem subject to the ℓ1 unit ball constraint. The nature of the l1 norm structure makes this problem extremely hard to analyze, and as a consequence, the same difficulties ...