Related papers: Minimax identity with robust utility functional fo…
Upper semicontinuous (usc) functions arise in the analysis of maximization problems, distributionally robust optimization, and function identification, which includes many problems of nonparametric statistics. We establish that every usc…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
Optimal estimation and inference for both the minimizer and minimum of a convex regression function under the white noise and nonparametric regression models are studied in a nonasymptotic local minimax framework, where the performance of a…
We characterize those ex-ante restrictions on the random utility model which lead to identification. We first identify a simple class of perturbations which transfer mass from a suitable pair of preferences to the pair formed by swapping…
We present a result according to which certain functions of covariance matrices are maximized at scalar multiples of the identity matrix. This is used to show that experimental designs that are optimal under an assumption of independent,…
The self-concordant-like property of a smooth convex function is a new analytical structure that generalizes the self-concordant notion. While a wide variety of important applications feature the self-concordant-like property, this concept…
We propose a globally convergent trust-region bundle method for minimizing lower-$C^2$ functions using higher-order cutting-plane models. Under certain growth assumptions on the objective around its minimum, the method is able to compute…
Submodularity is an important concept in combinatorial optimization, and it is often regarded as a discrete analog of convexity. It is a fundamental fact that the set of minimizers of any submodular function forms a distributive lattice.…
Non-convex functions that yet satisfy a condition of uniform convexity for non-close points can arise in discrete constructions. We prove that this sort of discrete uniform convexity is inherited by the convex envelope, which is the key to…
We investigate the static portfolio selection problem of S-shaped and non-concave utility maximization under first-order and second-order stochastic dominance (SD) constraints. In many S-shaped utility optimization problems, one should…
We establish the higher fractional differentiability for the minimizers of non-autonomous integral functionals of the form \begin{equation} \mathcal{F}(u,\Omega):=\int_\Omega \left[ f(x,Du)- g \cdot u \right] dx , \notag \end{equation}…
This paper provides a set of sensitivity analysis and activity identification results for a class of convex functions with a strong geometric structure, that we coined "mirror-stratifiable". These functions are such that there is a…
The weak lower semicontinuity of the functional $$ F(u)=\int_{\Omega}f(x,u,\nabla u)\, dx$$ is a classical topic that was studied thoroughly. It was shown that if the function $f$ is continuous and convex in the last variable, the…
This paper proposes minimum distance inference for a structural parameter of interest, which is robust to the lack of identification of other structural nuisance parameters. Some choices of the weighting matrix lead to asymptotic…
We introduce several classes of set-valued maps with generalized convexity. We obtain minimax theorems for set-valued maps which satisfy the introduced properties and are not continuous, by using a fixed point theorem for weakly naturally…
In this paper we associate with an infinite family of real extended functions defined on a locally convex space, a sum, called robust sum, which is always well-defined. We also associate with that family of functions a dual pair of problems…
The maximum (or minimum) generalized eigenvalue of symmetric positive semidefinite matrices that depend on optimization variables often appears as objective or constraint functions in structural topology optimization when we consider…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
We prove partial regularity for minimizers of quasiconvex functionals of the type $\int_\Omega f(x,Du) dx$ with $p(x)$ growth with respect to the second variable. The proof is direct and uses a method of $A$-harmonic approximation.