The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...
We give some new regularity conditions for Fenchel duality in separated locally convex vector spaces, written in terms of the notion of quasi interior and quasi-relative interior, ...
We study the problem of minimizing a sum of p-norms where p is a fixed real number in the interval [1, ]. Several practical algorithms have been proposed to solve this problem. How...
We present a method for decomposing a hypergraph with certain regularities into smaller hypergraphs. By applying this to the set of all canonical covers of a given set of functiona...
Given a primal-dual pair of linear programs, it is well known that if their optimal values are viewed as lying on the extended real line, then the duality gap is zero, unless both...