相关论文: Necessary and sufficient conditions for Pareto eff…
Classical sufficient conditions for ensuring the robust stability of a dynamical system in feedback with a nonlinearity include passivity, small gain, circle, and conicity theorems. We present a generalized version of these results for…
In robust optimization, we would like to find a solution that is immunized against all scenarios that are modeled in an uncertainty set. Which scenarios to include in such a set is therefore of central importance for the tractability of the…
Optimization problems have been the subject of statistical physics approximations. A specially relevant and general scenario is provided by optimization methods considering tradeoffs between cost and efficiency, where optimal solutions…
We introduce a robust optimization model consisting in a family of perturbation functions giving rise to certain pairs of dual optimization problems in which the dual variable depends on the uncertainty parameter. The interest of our…
Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…
We present a unified study of first and second order necessary and sufficient optimality conditions for minimax and Chebyshev optimisation problems with cone constraints. First order optimality conditions for such problems can be formulated…
The ability to compute reward-optimal policies for given and known finite Markov decision processes (MDPs) underpins a variety of applications across planning, controller synthesis, and verification. However, we often want policies (1) to…
Variational stability, in the sense of local good behavior of optimal values and solutions in problems of optimization under shifts in parameters, is important not only for validating model robustness in practical applications but also for…
In this paper we examine multi-objective linear programming problems in the face of data uncertainty both in the objective function and the constraints. First, we derive a formula for radius of robust feasibility guaranteeing constraint…
Portfolio optimization has been a major topic of research in finance, as it has a significant impact on investment profit. In this paper, we investigate the problem of data uncertainty in convex multi-objective portfolio optimization. We…
Sufficient conditions are identified under which the value function and the optimal strategy of a Markov decision process (MDP) are even and quasi-convex in the state. The key idea behind these conditions is the following. First, sufficient…
Classification, recommendation, and ranking problems often involve competing goals with additional constraints (e.g., to satisfy fairness or diversity criteria). Such optimization problems are quite challenging, often involving non-convex…
This paper is devoted to the study of second order optimality conditions for strong local minimizers in the frameworks of unconstrained and constrained optimization problems in finite dimensions via subgradient graphical derivative. We…
We initiate a formal study of reproducibility in optimization. We define a quantitative measure of reproducibility of optimization procedures in the face of noisy or error-prone operations such as inexact or stochastic gradient computations…
In this paper, we show the important roles of sharp minima and strong minima for robust recovery. We also obtain several characterizations of sharp minima for convex regularized optimization problems. Our characterizations are quantitative…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
Performance of optimization on quadratic problems sensitively depends on the low-lying part of the spectrum. For large (effectively infinite-dimensional) problems, this part of the spectrum can often be naturally represented or approximated…
Robust optimization(RO) is an important tool for handling optimization problem with uncertainty. The main objective of RO is to solve optimization problems due to uncertainty associated with constraints satisfying all realizations of…
Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…