γ-Active Constraints in Convex Semi-Infinite Programming

In this article, we extend the definition of γ-active constraints for linear semi-infinite programming to a definition applicable to convex semi-infinite programming, by two approaches. The first approach entails the use of the subdifferentials of the convex constraints at a point, while the second approach is based on the linearization of the convex inequality system by means of the convex conjugates of the defining functions. By both these methods, we manage to extend the results on γ-active constraints from the linear case to the convex case.     

Imposing symmetry in augmented linear systems

This paper discusses the methods of imposing symmetry in the augmented system formulation (ASF) for least‐squares (LS) problems. A particular emphasis is on upper Hessenberg problems, where the challenge lies in leaving all zero‐by‐definition elements of the LS matrix unperturbed. Analytical solutions for optimal perturbation matrices are given, including upper Hessenberg matrices. Finally, the upper Hessenberg LS problems represented by unsymmetric ASF that indicate a normwise backward stability of the problem (which is not the case in general) are identified. It is observed that such problems normally arise from Arnoldi factorization (for example, in the generalized minimal residual (GMRES) algorithm). The problem is illustrated with a number of practical (arising in the GMRES algorithm) and some ‘purpose‐built’ examples. Copyright © 2014 John Wiley & Sons, Ltd.     

Goal achieving probabilities of cone‐constrained mean‐variance portfolios

In this paper, we establish closed‐form formulas for key probabilistic properties of the cone‐constrained optimal mean‐variance strategy, in a continuous market model driven by a multidimensional Brownian motion and deterministic coefficients. In particular, we compute the probability to obtain to a point, during the investment horizon, where the accumulated wealth is large enough to be fully reinvested in the money market, and safely grow there to meet the investor's financial goal at terminal time. We conclude that the result of Li and Zhou [Ann. Appl. Prob., v.16, pp.1751–1763, (2006)] in the unconstrained case carries over when conic constraints are present: the former probability is lower bounded by 80% no matter the market coefficients, trading constraints, and investment goal. We also compute the expected terminal wealth given that the investor's goal is underachieved, for both the mean‐variance strategy and the aforementioned hybrid strategy where transfer to the money market occurs if it allows to safely achieve the goal. The former probabilities and expectations are also provided in the case where all risky assets held are liquidated if financial distress is encountered. These results provide investors with novel practical tools to support portfolio decision‐making and analysis. Copyright © 2013 John Wiley & Sons, Ltd.     

Global Parametric Sufficient Efficiency Conditions for Semiinfinite Multiobjective Fractional Programming Problems Containing Generalized （a,n,p）-V-Invex Functions

In this paper, we discuss numerous sets of global parametric sufficient efficiency conditions under various generalized (α, η, ρ)-V-invexity assumptions for a semiinfinite multiobjective fractional programming problem.     

A lagrange multiplier theorem for control problems with state constraints

We prove an existence theorem of Lagrange multipliers for an abstract control problem in Banach spaces. This theorem may be applied to obtain optimality conditions for control problems governed by partial differential equations in the presence of pointwise state constraints.     

A smoothing method for mathematical programs with equilibrium constraints

Received May 3, 1996 / Revised version received November 19, 1997 Published online January 20, 1999     

Inequality constraints with elastic impacts in deformable bodies. The convex case

Summary The aim of the present paper is to present some new results for problems when impacts occur. We prove, in the framework of linear elastic body, certain equivalent form of the d'Alembert's principle, including velocity discontinuity. We show that the theorem of stationary action still holds as an inequality. The consideration of the variation of the unknown impact time implies for the impact problem certain new variational expressions in inequality form. Received 13 August 1998; accepted for publication 6 May 1999     

Insider Trading in Convergent Markets

Optimal trading strategies are found for an insider who is trading in two convergent stocks and is bound by margin constraints.     

Computing with multi-row Gomory cuts

Recent advances on the understanding of valid inequalities from the infinite group relaxation has opened the possibility of finding a computationally effective extension to GMI cuts. In this paper, we investigate the computational impact of using a subclass of minimally valid inequalities from this relaxation on a wide set of instances.