Chain rule for conic derivatives

For all “nice” definitions of differentiability, the Chain Rule should be valid. We show that the Chain Rule remains true for some wide class of definitions of differentiability if one considers as approximative mappings (derivatives) not just continuous linear, but positively homogeneous mappings satisfying certain topological conditions (which are fulfilled for continuous linear mappings). For brevity, we call such derivatives conic. We will give corollaries for the case of conic differentiation of mappings between normed spaces, especially for the case of Fréchet conic differentiation and compact conic differentiation.     

Lifting for conic mixed-integer programming

Lifting is a procedure for deriving valid inequalities for mixed-integer sets from valid inequalities for suitable restrictions of those sets. Lifting has been shown to be very effective in developing strong valid inequalities for linear integer programming and it has been successfully used to solve such problems with branch-and-cut algorithms. Here we generalize the theory of lifting to conic integer programming, i.e., integer programs with conic constraints. We show how to derive conic valid inequalities for a conic integer program from conic inequalities valid for its lower-dimensional restrictions. In order to simplify the computations, we also discuss sequence-independent lifting for conic integer programs. When the cones are restricted to nonnegative orthants, conic lifting reduces to the lifting for linear integer programming as one may expect.     

A sylvester theorem for conic sections

If S is a finite set of points in the plane and no conic contains all points of S, then S determines a conic which contains exactly five points ofS.     

Zeta regularized determinants for conic manifolds

We study (relative) zeta regularized determinants of Laplace type operators on compact conic manifolds. We establish gluing formulae for relative zeta regularized determinants. For arbitrary self-adjoint extensions of the Laplace-Beltrami operator, we express the relative ζ-determinants for these as a ratio of the determinants of certain finite matrices. For the self-adjoint extensions corresponding to Dirichlet and Neumann conditions, the formula is particularly simple and elegant.     

Weighted estimates for conic Fourier multipliers

We prove a weighted inequality which controls conic Fourier multiplier operators in terms of lacunary directional maximal operators. By bounding the maximal operators, this enables us to conclude that the multiplier operators are bounded on \(L^p(\mathbb {R}^3)\) with \(1 .     

Quantile hedging for equity-linked contracts

We consider an equity-linked contract whose payoff depends on the lifetime of the policy holder and the stock price. We provide the best strategy for an insurance company assuming limited capital for the hedging. The main idea of the proof consists in reducing the construction of such strategies for a given claim to a problem of superhedging for a modified claim, which is the solution to a static optimization problem of the Neyman-Pearson type. This modified claim is given via some sets constructed in an iterative way. Some numerical examples are also given.     

Some conic bundless

A representation of the anticanonical K3 surface of a singular pencil of conics is described. This generalizes the well-known Shokurov theorem.Translated fromMatematicheskie Zametki, Vol. 63, No. 6, pp. 903–910, June, 1998.The author is greatly indebted to V. A. Iskovskikh, Yu. G. Prokhorov, and I. A. Chel'tsov for fruitful discussions.This research was supported by the Russian Foundation for Basic Research under grant No. 96-01-00820 and by INTAS under grant No. 93-2805.00-00-00.     

Round-off estimates for second-order conic feasibility problems

We present the analysis of an interior-point method to decide feasibility problems of second-order conic systems. A main feature of this algorithm is that arithmetic operations are performed with finite precision. Bounds for both the number of arithmetic operations and the finest precision required are exhibited.     

The minimal cone for conic linear programming

It is known that the minimal cone for the constraint system of a conic linear programming problem is a key component in obtaining strong duality without any constraint qualification. For problems in either primal or dual form, the minimal cone can be written down explicitly in terms of the problem data. However, due to possible lack of closure, explicit expressions for the dual cone of the minimal cone cannot be obtained in general. In the particular case of semidefinite programming, an explicit expression for the dual cone of the minimal cone allows for a dual program of polynomial size that satisfies strong duality. In this paper we develop a recursive procedure to obtain the minimal cone and its dual cone. In particular, for conic problems with so-called nice cones, we obtain explicit expressions for the cones involved in the dual recursive procedure. As an example of this approach, the well-known duals that satisfy strong duality for semidefinite programming problems are obtained. The relation between this approach and a facial reduction algorithm is also discussed.     

不可交易资产的平方套期保值问题

提出并解决了不可交易资产的套期保值问题.基于金融实际构建了不可交易资产套期保值模型,在风险资产价格服从跳扩散模型的假设下提出了三个平方套期保值问题.借助于一个辅助过程和Hilbert空间投影定理,利用市场可观测量以后向形式给出了平方套期保值标准下的最优策略.最后通过Monte Carlo方法验证了套期保值策略的有效性.     

Cuts for mixed 0-1 conic programming

In this we paper we study techniques for generating valid convex constraints for mixed 0-1 conic programs. We show that many of the techniques developed for generating linear cuts for mixed 0-1 linear programs, such as the Gomory cuts, the lift-and-project cuts, and cuts from other hierarchies of tighter relaxations, extend in a straightforward manner to mixed 0-1 conic programs. We also show that simple extensions of these techniques lead to methods for generating convex quadratic cuts. Gomory cuts for mixed 0-1 conic programs have interesting implications for comparing the semidefinite programming and the linear programming relaxations of combinatorial optimization problems, e.g. we show that all the subtour elimination inequalities for the traveling salesman problem are rank-1 Gomory cuts with respect to a single semidefinite constraint. We also include results from our preliminary computational experiments with these cuts.Research partially supported by NSF grants CCR-00-09972, DMS-01-04282 and ONR grant N000140310514.     

A complementarity partition theorem for multifold conic systems

Consider a homogeneous multifold convex conic system $$Ax = 0, \quad x\in K_1\times \cdots \times K_r$$ and its alternative system $$A^t y \in K_1^*\times \cdots \times K_r^*$$ , where K ₁,..., K _r are regular closed convex cones. We show that there is a canonical partition of the index set {1,...,r} determined by certain complementarity sets associated to the most interior solutions to the two systems. Our results are inspired by and extend the Goldman–Tucker Theorem for linear programming.     

Theorems of the alternative for conic integer programming

Farkas’ Lemma is a foundational result in linear programming, with implications in duality, optimality conditions, and stochastic and bilevel programming. Its generalizations are known as theorems of the alternative. There exist theorems of the alternative for integer programming and conic programming. We present theorems of the alternative for conic integer programming. We provide a nested procedure to construct a function that characterizes feasibility over right-hand sides and can determine which statement in a theorem of the alternative holds.     

Quantile hedging for guaranteed minimum death benefits

Quantile hedging for contingent claims is an active topic of research in mathematical finance. It plays a role in incomplete markets when perfect hedging is not possible. Guaranteed minimum death benefits (GMDBs) are present in many variable annuity contracts, and act as a form of portfolio insurance. They cannot be perfectly hedged due to the mortality component, except in the limit as the number of contracts becomes infinitely large. In this article, we apply ideas from finance to derive quantile hedges for these products under various assumptions.     

Separation results for multi-product inventory hedging problems

We analyze financial hedging tools for inventory management in a risk-averse corporation. We consider the problem of optimizing simultaneously over both the operational policy and the hedging policy of the corporation in a multi-product model. Our main contribution is a separation result such that for a corporation with multiple products and inventory departments, the inventory decisions of each department can be made independently of the other departments’ decisions. That is, no interaction needs to be considered among different products.     

Quantile hedging for guaranteed minimum death benefits

Quantile hedging for contingent claims is an active topic of research in mathematical finance. It plays a role in incomplete markets when perfect hedging is not possible. Guaranteed minimum death benefits (GMDBs) are present in many variable annuity contracts, and act as a form of portfolio insurance. They cannot be perfectly hedged due to the mortality component, except in the limit as the number of contracts becomes infinitely large. In this article, we apply ideas from finance to derive quantile hedges for these products under various assumptions.