The global convergence properties of an adaptive QP-free method without a penalty function or a filter for minimax optimization. [PDF]
PLoS One, 2023 Su K, Liu S, Lu W.
europepmc +1 more source
A review of portfolio planning: Models and systems
, 2003 In this chapter, we first provide an overview of a number of portfolio planning models which have been proposed and investigated over the last forty years.
Mitra, G +3 more
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Equivalent Results in Minimax Theory
In this paper we review known minimax results with applications ingame theory and show that these results are easy consequences of thefirst minimax result for a two person zero sum game with finite strategysets published by von Neumann in 1928: Among ...
Kassay, G., Kolumban, J., Frenk, J.B.G.
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Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem [PDF]
In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative
Marco Corazza +2 more
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A deep cut ellipsoid algorithm for convex programming
This paper proposes a deep cut version of the ellipsoid algorithm for solving a general class of continuous convex programming problems. In each step the algorithm does not require more computational effort to construct these deep cuts than its ...
Zhang, S. +2 more
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A maximum entropy approach to the newsvendor problem with partial information [PDF]
In this paper, we consider the newsvendor model under partial information, i.e., where the demand distribution D is partly unknown. We focus on the classical case where the retailer only knows the expectation and variance of D.
Nonås, Sigrid Lise +4 more
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Collaborative airline revenue sharing game with grey demand data. [PDF]
Cent Eur J Oper Res, 2022 Olgun MO.
europepmc +1 more source
Strongly polynomial algorithms for solution of some classes of mathematical programming problems
, 1992 Systems of linear inequalities, systems of linear equations, packaging problems, minimax problems are considered in the paper aiming at the separation of classes of mathematical programming problems, permitting strongly polynomial solution algorithms. As
Gorokh Oleg Vladimirovich
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Worst-case estimation and asymptotic theory for models with unobservables [PDF]
, 2004 This paper proposes a worst-case approach for estimating econometric models containing unobservable variables. Worst-case estimators are robust against the adverse effects of unobservables.
Vidal-Sanz, Jose M. +1 more
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WORST-CASE ESTIMATION AND ASYMPTOTIC THEORY FOR MODELS WITH UNOBSERVABLES [PDF]
This paper proposes a worst-case approach for estimating econometric models containing unobservable variables. Worst-case estimators are robust against the adverse effects of unobservables.
Mercedes Esteban-Bravo +1 more
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