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FSS
2007
82views more  FSS 2007»
15 years 6 months ago
An empirical test of some measurement-theoretic axioms for fuzzy sets
In the previous years some authors have been elaborating on the measurementtheoretic foundations of fuzzy set theory. A well-known problem in this approach is the difficult applic...
C. Desimpelaere, Thierry Marchant
MP
2006
84views more  MP 2006»
15 years 6 months ago
On the behavior of the homogeneous self-dual model for conic convex optimization
Abstract. There is a natural norm associated with a starting point of the homogeneous selfdual (HSD) embedding model for conic convex optimization. In this norm two measures of the...
Robert M. Freund
MP
2006
107views more  MP 2006»
15 years 6 months ago
Optimality conditions in portfolio analysis with general deviation measures
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
MP
2006
175views more  MP 2006»
15 years 6 months ago
Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
Rüdiger Schultz, Stephan Tiedemann
182
Voted
MP
2006
73views more  MP 2006»
15 years 6 months ago
On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
We present a primal-dual interior-point algorithm with a filter line-search method for nonlinear programming. Local and global convergence properties of this method were analyzed i...
Andreas Wächter, Lorenz T. Biegler