Algorithms for stochastic optimization with function or expectation constraints
Author
Abstract
Suggested Citation
DOI: 10.1007/s10589-020-00179-x
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- D. Goldfarb & G. Iyengar, 2003. "Robust Portfolio Selection Problems," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 1-38, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Li, Bingkang & Zhao, Huiru & Wang, Xuejie & Zhao, Yihang & Zhang, Yuanyuan & Lu, Hao & Wang, Yuwei, 2022. "Distributionally robust offering strategy of the aggregator integrating renewable energy generator and energy storage considering uncertainty and connections between the mid-to-long-term and spot elec," Renewable Energy, Elsevier, vol. 201(P1), pages 400-417.
- Zichong Li & Pin-Yu Chen & Sijia Liu & Songtao Lu & Yangyang Xu, 2024. "Stochastic inexact augmented Lagrangian method for nonconvex expectation constrained optimization," Computational Optimization and Applications, Springer, vol. 87(1), pages 117-147, January.
- Lingzi Jin & Xiao Wang, 2022. "A stochastic primal-dual method for a class of nonconvex constrained optimization," Computational Optimization and Applications, Springer, vol. 83(1), pages 143-180, September.
- Liwei Zhang & Yule Zhang & Jia Wu & Xiantao Xiao, 2022. "Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 2989-3006, November.
- Kamiar Asgari & Michael J. Neely, 2024. "Nonsmooth projection-free optimization with functional constraints," Computational Optimization and Applications, Springer, vol. 89(3), pages 927-975, December.
- Nikhil Devanathan & Stephen Boyd, 2024. "Polyak Minorant Method for Convex Optimization," Journal of Optimization Theory and Applications, Springer, vol. 203(3), pages 2263-2282, December.
- Yuanyuan, Zhang & Huiru, Zhao & Bingkang, Li, 2023. "Distributionally robust comprehensive declaration strategy of virtual power plant participating in the power market considering flexible ramping product and uncertainties," Applied Energy, Elsevier, vol. 343(C).
- Bo Wei & William B. Haskell & Sixiang Zhao, 2020. "The CoMirror algorithm with random constraint sampling for convex semi-infinite programming," Annals of Operations Research, Springer, vol. 295(2), pages 809-841, December.
- Drew P. Kouri & Mathias Staudigl & Thomas M. Surowiec, 2023. "A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints," Computational Optimization and Applications, Springer, vol. 85(2), pages 441-478, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kang, Yan-li & Tian, Jing-Song & Chen, Chen & Zhao, Gui-Yu & Li, Yuan-fu & Wei, Yu, 2021. "Entropy based robust portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
- Juan F. Monge & Mercedes Landete & Jos'e L. Ruiz, 2016. "Sharpe portfolio using a cross-efficiency evaluation," Papers 1610.00937, arXiv.org, revised Oct 2016.
- Man Yiu Tsang & Tony Sit & Hoi Ying Wong, 2022. "Adaptive Robust Online Portfolio Selection," Papers 2206.01064, arXiv.org.
- Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 115-134.
- Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015.
"Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach,"
European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
- Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.
- Paul Glasserman & Wanmo Kang, 2014. "OR Forum—Design of Risk Weights," Operations Research, INFORMS, vol. 62(6), pages 1204-1220, December.
- L. Jeff Hong & Zhiyuan Huang & Henry Lam, 2021. "Learning-Based Robust Optimization: Procedures and Statistical Guarantees," Management Science, INFORMS, vol. 67(6), pages 3447-3467, June.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
- Maria Scutellà & Raffaella Recchia, 2013. "Robust portfolio asset allocation and risk measures," Annals of Operations Research, Springer, vol. 204(1), pages 145-169, April.
- Yilie Huang & Yanwei Jia & Xun Yu Zhou, 2024. "Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study," Papers 2412.16175, arXiv.org.
- Ashrafi, Hedieh & Thiele, Aurélie C., 2021. "A study of robust portfolio optimization with European options using polyhedral uncertainty sets," Operations Research Perspectives, Elsevier, vol. 8(C).
- Ran Ji & Miguel A. Lejeune, 2021. "Data-Driven Optimization of Reward-Risk Ratio Measures," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 1120-1137, July.
- Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
- Costa, Oswaldo L.V. & de Oliveira Ribeiro, Celma & Rego, Erik Eduardo & Stern, Julio Michael & Parente, Virginia & Kileber, Solange, 2017. "Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix," Energy Economics, Elsevier, vol. 64(C), pages 158-169.
- Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007.
"Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
- Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group.
- Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5148, C.E.P.R. Discussion Papers.
- Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers.
- F. Cong & C. W. Oosterlee, 2017. "On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
- Gautam Sabnis & Debdeep Pati & Anirban Bhattacharya, 2019. "Compressed Covariance Estimation with Automated Dimension Learning," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 466-481, December.
- Adrian Gepp & Geoff Harris & Bruce Vanstone, 2020. "Financial applications of semidefinite programming: a review and call for interdisciplinary research," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3527-3555, December.
- Katrin Schöttle & Ralf Werner & Rudi Zagst, 2010. "Comparison and robustification of Bayes and Black-Litterman models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 453-475, June.
- Andrew Butler & Roy H. Kwon, 2021. "Data-driven integration of norm-penalized mean-variance portfolios," Papers 2112.07016, arXiv.org, revised Nov 2022.
More about this item
Keywords
Convex programming; Stochastic optimization; Complexity; Subgradient method;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:coopap:v:76:y:2020:i:2:d:10.1007_s10589-020-00179-x. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.