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MP
2006
88views more  MP 2006»
14 years 9 months ago
Bounds on linear PDEs via semidefinite optimization
Using recent progress on moment problems, and their connections with semidefinite optimization, we present in this paper a new methodology based on semidefinite optimization, to ob...
Dimitris Bertsimas, Constantine Caramanis
MP
2006
94views more  MP 2006»
14 years 9 months ago
Optimization-based simulation of nonsmooth rigid multibody dynamics
We present a time-stepping method to simulate rigid multibody dynamics with inelastic collision, contact, and friction. The method progresses with fixed time step without backtrac...
Mihai Anitescu
MP
2006
90views more  MP 2006»
14 years 9 months ago
Solving multistage asset investment problems by the sample average approximation method
The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects ...
Jörgen Blomvall, Alexander Shapiro
MP
2006
107views more  MP 2006»
14 years 9 months ago
Optimality conditions in portfolio analysis with general deviation measures
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
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MP
2006
97views more  MP 2006»
14 years 9 months ago
Subdifferential representations of risk measures
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...
Georg Ch. Pflug