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We consider the set of extremal points of the generalized unit ball induced by gradient total variation seminorms for vector-valued functions on bounded Euclidean domains. These are central to the understanding of sparse solutions and…
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The…
We give an algorithm for testing the extremality of minimal valid functions for Gomory and Johnson's infinite group problem that are piecewise linear (possibly discontinuous) with rational breakpoints. This is the first set of necessary and…
We study incommensurate fractional variational problems in terms of a generalized fractional integral with Lagrangians depending on classical derivatives and generalized fractional integrals and derivatives. We obtain necessary optimality…
We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves…
The existence of a positive linear functional acting on the space of (differences between) conformal blocks has been shown to rule out regions in the parameter space of conformal field theories (CFTs). We argue that at the boundary of the…
We address the problem of prediction for extreme observations by proposing an extremal linear prediction method. We construct an inner product space of nonnegative random variables derived from transformed-linear combinations of independent…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
The extremal index $\theta$, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate $\theta$ semiparametrically, using the relationship between the…
In the work, the property of the second-order subdifferential is studied and second-order optimality conditions are obtained for the minimization problem. We also obtained necessary and sufficient conditions for an extremum for the extremal…
This paper presents a novel numerical optimisation method for infinite dimensional optimisation. The functional optimisation makes minimal assumptions about the functional and without any specific knowledge on the derivative of the…
We give an exact formula for the Bellman function of the weak type of martingale transform. We also give the extremal functions (actually extremal sequences of functions). We find them using the precise form of the Bellman function. The…
In this article, we construct semiparametrically efficient estimators of linear functionals of a probability measure in the presence of side information using an easy empirical likelihood approach. We use estimated constraint functions and…
We provide a fast and simple method to solve fractional variational problems with dependence on Hadamard fractional derivatives. Using a relation between the Hadamard fractional operator and a sum involving integer-order derivatives, we…
We consider three classes of linear differential equations on distribution functions, with a fractional order $\alpha\in [0,1].$ The integer case $\alpha =1$ corresponds to the three classical extreme families. In general, we show that…
We extend Robust Optimization to fractional programming, where both the objective and the constraints contain uncertain parameters. Earlier work did not consider uncertainty in both the objective and the constraints, or did not use Robust…
We study the extremal solution for the problem $(-\Delta)^s u=\lambda f(u)$ in $\Omega$, $u\equiv0$ in $\R^n\setminus\Omega$, where $\lambda>0$ is a parameter and $s\in(0,1)$. We extend some well known results for the extremal solution when…
We prove Euler-Lagrange and natural boundary necessary optimality conditions for fractional problems of the calculus of variations which are given by a composition of functionals. Our approach uses the recent notions of Riemann-Liouville…
Extremal optimization is a new general-purpose method for approximating solutions to hard optimization problems. We study the method in detail by way of the NP-hard graph partitioning problem. We discuss the scaling behavior of extremal…
We prove necessary optimality conditions, in the class of continuous functions, for variational problems defined with Jumarie's modified Riemann-Liouville derivative. The fractional basic problem of the calculus of variations with free…