CVaR minimization by the SRA algorithm [PDF]
, 2011 Using the risk measure CV aR in nancial analysis has become more and more popular recently. In this paper we apply CV aR for portfolio optimization.
A Künzi-Bay +11 more
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The Quadratic Cycle Cover Problem: special cases and efficient bounds [PDF]
, 2019 The quadratic cycle cover problem is the problem of finding a set of node-disjoint cycles visiting all the nodes such that the total sum of interaction costs between consecutive arcs is minimized.
de Meijer, Frank, Sotirov, Renata
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Pooling problem: Alternate formulations and solution methods [PDF]
, 2004 Copyright @ 2004 INFORMSThe pooling problem, which is fundamental to the petroleum industry, describes a situation in which products possessing different attribute qualities are mixed in a series of pools in such a way that the attribute qualities of the
Amos F. +8 more
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Fast interior point solution of quadratic programming problems arising from PDE-constrained optimization [PDF]
, 2017 Interior point methods provide an attractive class of approaches for solving linear, quadratic and nonlinear programming problems, due to their excellent efficiency and wide applicability.
A Borzì +45 more
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Optimization algorithms for the solution of the frictionless normal contact between rough surfaces [PDF]
, 2015 This paper revisits the fundamental equations for the solution of the frictionless unilateral normal contact problem between a rough rigid surface and a linear elastic half-plane using the boundary element method (BEM).
Bemporad, A., Paggi, M.
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A GPU-based hyperbolic SVD algorithm [PDF]
, 2011 A one-sided Jacobi hyperbolic singular value decomposition (HSVD) algorithm, using a massively parallel graphics processing unit (GPU), is developed.
A.H. Sameh +21 more
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Fundamentals of cone regression
, 2016 Cone regression is a particular case of quadratic programming that minimizes a weighted sum of squared residuals under a set of linear inequality constraints.
Dimiccoli, Mariella
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A recursively feasible and convergent Sequential Convex Programming procedure to solve non-convex problems with linear equality constraints [PDF]
, 2018 A computationally efficient method to solve non-convex programming problems with linear equality constraints is presented. The proposed method is based on a recursively feasible and descending sequential convex programming procedure proven to converge to
Romano, Marcello, Virgili-Llop, Josep
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A semismooth newton method for the nearest Euclidean distance matrix problem
, 2013 The Nearest Euclidean distance matrix problem (NEDM) is a fundamentalcomputational problem in applications such asmultidimensional scaling and molecularconformation from nuclear magnetic resonance data in computational chemistry.Especially in the latter ...
Alizadeh F. +4 more
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Tropical Kraus maps for optimal control of switched systems
, 2017 Kraus maps (completely positive trace preserving maps) arise classically in quantum information, as they describe the evolution of noncommutative probability measures.
Gaubert, Stéphane, Stott, Nikolas
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