The center will unite mathematicians, engineers and computer scientists at Brown, NYU and Georgia Tech to tackle longstanding ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

This is a preview. Log in through your library . Abstract A new algorithm for inequality constrained optimization is presented, which solves a linear programming subproblem and a quadratic subproblem ...

This case study demonstrates the deep collaborative capability of the PERA intelligent solution with traditional CAE tools ...

This paper considers long-short portfolio optimization in the presence of two risk measures (variance and conditional value-at-risk (CVaR)), and asset choice constraints regarding buying and selling ...