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  • Search: subject:"existence of optimal solutions"
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Year of publication
Subject
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existence of optimal solutions 6 quadratically constrained quadratic programming 6 Convex quadratic system 4 Existence of optimal solutions 4 Boundedness 2 Convex constrained integer programs 2 Dynamic programming 2 Efficient frontier of utility and CVaR 2 Mathematische Optimierung 2 Sequential penalty functions 2 State/control constraints 2 Theorie 2 convex quadratic system 2 Mathematical programming 1 Nichtlineare Optimierung 1 Nonlinear programming 1 Theory 1
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Online availability
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Free 6 Undetermined 4
Type of publication
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Book / Working Paper 6 Article 4
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 8 English 2
Author
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Luo, Zhi-Quan 4 Zhang, Shuzhong 4 Luo, Z-Q. 2 Obuchowska, Wiesława 2 Zheng, Harry 2 Zhang, S. 1 Zhang, Zhang, S. 1
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Institution
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Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
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Computational Statistics 2 Mathematical Methods of Operations Research 2 Tinbergen Institute Discussion Papers 2 Discussion paper / Tinbergen Institute 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Tinbergen Institute Discussion Paper 1
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Source
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RePEc 8 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 10 of 10
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Efficient frontier of utility and CVaR
Zheng, Harry - In: Mathematical Methods of Operations Research 70 (2009) 1, pp. 129-148
We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional VaR of the utility loss. We establish the existence of the optimal solution with the convex duality analysis. We find the optimal value of the constrained problem with the...
Persistent link: https://www.econbiz.de/10010949934
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Efficient frontier of utility and CVaR
Zheng, Harry - In: Computational Statistics 70 (2009) 1, pp. 129-148
We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional VaR of the utility loss. We establish the existence of the optimal solution with the convex duality analysis. We find the optimal value of the constrained problem with the...
Persistent link: https://www.econbiz.de/10010759135
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On boundedness of (quasi-)convex integer optimization problems
Obuchowska, Wiesława - In: Mathematical Methods of Operations Research 68 (2008) 3, pp. 445-467
In this paper we are concerned with the problem of boundedness and the existence of optimal solutions to the …
Persistent link: https://www.econbiz.de/10010999678
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On boundedness of (quasi-)convex integer optimization problems
Obuchowska, Wiesława - In: Computational Statistics 68 (2008) 3, pp. 445-467
In this paper we are concerned with the problem of boundedness and the existence of optimal solutions to the …
Persistent link: https://www.econbiz.de/10010759273
Saved in:
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On the extensions of the Frank-Worfe theorem
Luo, Z-Q.; Zhang, Zhang, S. - Faculteit der Economische Wetenschappen, Erasmus … - 1997
In this paper we consider optimization problems defined by a quadratic objective function and a finite number of quadratic inequality constraints. Given that the objective function is bounded over the feasible set, we present a comprehensive study of the conditions under which the optimal...
Persistent link: https://www.econbiz.de/10010837826
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On the extensions of the Frank-Worfe theorem
Luo, Z-Q.; Zhang, S. - Erasmus University Rotterdam, Econometric Institute - 1997
In this paper we consider optimization problems defined by a quadratic objective function and a finite number of quadratic inequality constraints. Given that the objective function is bounded over the feasible set, we present a comprehensive study of the conditions under which the optimal...
Persistent link: https://www.econbiz.de/10008484076
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On the extensions of Frank-Wolfe theorem
Luo, Zhi-Quan; Zhang, Shuzhong - Tinbergen Institute - 1997
In this paper we consider optimization problems defined by a quadratic objective function and a finite number of quadratic inequality constraints. Given that the objective function is bounded over the feasible set, we present a comprehensive study of the conditions under which the optimal...
Persistent link: https://www.econbiz.de/10005209468
Saved in:
Cover Image
On the extensions of Frank-Wolfe theorem
Luo, Zhi-Quan; Zhang, Shuzhong - 1997
In this paper we consider optimization problems defined by a quadraticobjective function and a finite number of quadratic inequality constraints.Given that the objective function is bounded over the feasible set, we presenta comprehensive study of the conditions under which the optimal solution...
Persistent link: https://www.econbiz.de/10010324430
Saved in:
Cover Image
On the extensions of Frank-Wolfe theorem
Luo, Zhi-Quan; Zhang, Shuzhong - Tinbergen Instituut - 1997
In this paper we consider optimization problems defined by a quadraticobjective function and a finite number of quadratic inequality constraints.Given that the objective function is bounded over the feasible set, we presenta comprehensive study of the conditions under which the optimal solution...
Persistent link: https://www.econbiz.de/10011255861
Saved in:
Cover Image
On the extensions of Frank-Wolfe theorem
Luo, Zhi-Quan; Zhang, Shuzhong - 1997
In this paper we consider optimization problems defined by a quadraticobjective function and a finite number of quadratic inequality constraints.Given that the objective function is bounded over the feasible set, we presenta comprehensive study of the conditions under which the optimal solution...
Persistent link: https://www.econbiz.de/10010371107
Saved in:
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