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EOR
2008
70views more  EOR 2008»
15 years 6 months ago
Robust portfolio selection based on a multi-stage scenario tree
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. ...
Ruijun Shen, Shuzhong Zhang
SIAMJO
2008
84views more  SIAMJO 2008»
15 years 6 months ago
Regularity Conditions via Quasi-Relative Interior in Convex Programming
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, ...
Radu Ioan Bot, Ernö Robert Csetnek, Gert Wank...
SIAMJO
2000
101views more  SIAMJO 2000»
15 years 6 months ago
An Efficient Algorithm for Minimizing a Sum of p-Norms
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...
Guoliang Xue, Yinyu Ye
FOIKS
2008
Springer
15 years 7 months ago
Autonomous Sets - A Method for Hypergraph Decomposition with Applications in Database Theory
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...
Henning Köhler
MP
2007
76views more  MP 2007»
15 years 5 months ago
Universal duality in conic convex optimization
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...
Simon P. Schurr, André L. Tits, Dianne P. O...