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作者：Andreani, Roberto; Martinez, Jose Mario; Ramos, Alberto; Silva, Paulo J. S.
作者单位：Universidade Estadual de Campinas; Universidade Federal do Parana
摘要：Sequential optimality conditions for constrained optimization are necessarily satisfied by local minimizers, independently of the fulfillment of constraint qualifications. These conditions support the employment of different stopping criteria for practical optimization algorithms. On the other hand, when an appropriate property on the constraints holds at a point that satisfies a sequential optimality condition, such a point also satisfies the Karush-Kuhn-Tucker conditions. Those properties wi...
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作者：Anthropelos, Michail; Kupper, Michael; Papapantoleon, Antonis
作者单位：University of Piraeus; University of Konstanz; Technical University of Berlin
摘要：We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts to diversify their portfolios. The spot and forward equilibrium commodity prices are endogenously derived as the outcome of the interaction between producers and investors. Assuming that both are utili...
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作者：Vu, Ky; Poirion, Pierre-Louis; Liberti, Leo
作者单位：Chinese University of Hong Kong; Huawei Technologies; Institut Polytechnique de Paris; Ecole Polytechnique
摘要：Random projections are random linear maps, sampled from appropriate distributions, which approximately preserve certain geometrical invariants so that the approximation improves as the dimension of the space grows. The well known Johnson-Lindenstrauss lemma states that there are random matrices with surprisingly few rows which approximately preserve pairwise Euclidean distances among a set of points. This is commonly used to speed up algorithms based on Euclidean distances. We prove that these...
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作者：Markakis, Mihalis G.; Modiano, Eytan; Tsitsiklis, John N.
作者单位：Pompeu Fabra University; Massachusetts Institute of Technology (MIT)
摘要：We consider switched queueing networks with a mix of heavy-tailed (i.e., arrival processes with infinite variance) and exponential-type traffic and study the delay performance of the max-weight policy, known for its throughput optimality and asymptotic delay optimality properties. Our focus is on the impact of heavy-tailed traffic on exponential-type queues/flows, which may manifest itself in the form of subtle rate-dependent phenomena. We introduce a novel class of Lyapunov functions (piecewi...
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作者：Abdi, Ahmad; Fukasawa, Ricardo; Sanita, Laura
作者单位：University of Waterloo
摘要：Let E be a finite set of elements, and let L be a clutter over ground set E. We say distinct elements e, f are opposite if every member and every minimal cover of L contains at most one of e, f . In this paper, we investigate opposite elements and reveal a rich theory underlying such a seemingly simple restriction. The clutter C obtained from L after identifying some opposite elements is called an identification of L; inversely, L is called a split of C. We will show that splitting preserves t...
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作者：Lemieux, Christiane
作者单位：University of Waterloo
摘要：In this paper, we provide a framework to study the dependence structure of sampling schemes such as those produced by randomized quasi-Monte Carlo methods. The main goal of this new framework is to determine conditions under which the negative dependence structure of a sampling scheme enables the construction of estimators with reduced variance compared to Monte Carlo estimators. To do this, we establish a generalization of the well-known Hoeffding's lemma-expressing the covariance of two rand...
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作者：De Klerk, Etienne; Laurent, Monique
作者单位：Tilburg University; Delft University of Technology
摘要：We consider the problem of minimizing a continuous function f over a compact set K. We compare the hierarchy of upper bounds proposed by Lasserre [Lasserre JB (2011) A new look at nonnegativity on closed sets and polynomial optimization. SIAM J. Optim. 21(3): 864-885] to bounds that may be obtained from simulated annealing. We show that, when f is a polynomial and K a convex body, this comparison yields a faster rate of convergence of the Lasserre hierarchy than what was previously known in th...
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作者：Lourenco, Bruno F.; Fukuda, Ellen H.; Fukushima, Masao
作者单位：University of Tokyo; Kyoto University
摘要：In this work, we are interested in nonlinear symmetric cone problems (NSCPs), which contain as special cases nonlinear semidefinite programming, nonlinear second-order cone programming, and the classical nonlinear programming problems. We explore the possibility of reformulating NSCPs as common nonlinear programs (NLPs), with the aid of squared slack variables. Through this connection, we show how to obtain second-order optimality conditions for NSCPs in an easy manner, thus bypassing a number...
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作者：Bender, Christian; Gartner, Christian; Schweizerb, Nikolaus
作者单位：Saarland University; Tilburg University
摘要：We present a novel method for deriving tight Monte Carlo confidence intervals for solutions of stochastic dynamic programming equations. Taking some approximate solution to the equation as an input, we construct pathwise recursions with a known bias. Suitably coupling the recursions for lower and upper bounds ensures that the method is applicable even when the dynamic program does not satisfy a comparison principle. We apply our method to three nonlinear option pricing problems, pricing under ...
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作者：Berczi, Kristof; Frank, Andras
作者单位：Eotvos Lorand University
摘要：The main result of this paper is motivated by the following two apparently unrelated graph optimization problems: (A) As an extension of Edmonds' disjoint branchings theorem, characterize digraphs comprising k disjoint branchings B-i each having a specified number mu(i) of arcs. (B) As an extension of Ryser's maximum term rank formula, determine the largest possible matching number of simple bipartite graphs complying with degree-constraints. The solutions to these problems and to their genera...
