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作者：He, Xue Dong; Jiang, Zhaoli
作者单位：Chinese University of Hong Kong
摘要：In a market that consists of multiple stocks and one risk-free asset whose mean return rates and volatility are deterministic, we study a continuous-time mean-variance portfolio selection problem in which an agent is subject to a constraint that the expectation of the agent's terminal wealth must exceed a target and minimize the variance of the agent's terminal wealth. The agent can revise the expected terminal wealth target dynamically to adapt to the change of the agent's current wealth, and...
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作者：Quoc Tran-Dinh; Liang, Ling; Toh, Kim-Chuan
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National University of Singapore; National University of Singapore
摘要：This paper suggests two novel ideas to develop new proximal variable-metric methods for solving a class of composite convex optimization problems. The first idea is to utilize a new parameterization strategy of the optimality condition to design a class of homotopy proximal variable-metric algorithms that can achieve linear convergence and finite global iteration-complexity bounds. We identify at least three subclasses of convex problems in which our approach can apply to achieve linear conver...
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作者：Aprile, Manuel; Fiorini, Samuel
作者单位：University of Padua; Universite Libre de Bruxelles
摘要：We prove that the extension complexity of the independence polytope of every regular matroid on n elements is O(n(6)). Past results of Wong and Martin on extended formulations of the spanning tree polytope of a graph imply a O(n(2)) bound for the special case of (co)graphic matroids. However, the case of a general regular matroid was open, despite recent attempts. We also consider the extension complexity of circuit dominants of regular matroids, for which we give a O(n(2)) bound.
