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Stochastic linear programming with a distortion risk constraint
Robust optimization weighted-mean trimmed regions central regions coherent risk measure spectral risk measure mean-risk portfolio.
2012/9/17
Linear optimization problems are investigated whose parametersare uncertain. We apply coherent distortion risk measures to capture the pos-sible violation of a restriction. Each risk constraint induce...
Large-Scale Convex Minimization with a Low-Rank Constraint
Large-Scale Convex Minimization Low-Rank Constraint
2011/7/6
We address the problem of minimizing a convex function over the space of large matrices with low rank. While this optimization problem is hard in general, we propose an efficient greedy algorithm and ...
Threads of Constraint：Ethnic Minority Migrant Women and Employment
Ethnic Minority Migrant Women Employment
2009/4/10
Nations, organisations and ethnic minority migrants are compelled to deal with issues emerging from the perceptions and politicisation of ethnicity. Issues of ethnicity are often fore grounded in the ...
Maximization of Correlation under a Quadratic Constraint
canonical correlation correlation coefficient nonlinear optimization quadratic constraint singular value decomposition
2009/3/5
An algebraic method is suggested to search for the optimal solution that maximizes a correlation criterion under a quadratic constraint. First it is shown that the problem formulated in a sample space...
Variable Selection Incorporating Prior Constraint Information into Lasso
lasso linear models prior constraint information sample information variableselection
2010/4/29
We propose the variable selection procedure incorporating prior constraint information into
lasso. The proposed procedure combines the sample and prior information, and selects significant variables ...
Best subset selection，persistence in high-dimensional statistical learning and optimization under L1 constraint
Variable selection persistence
2010/4/26
Let (Y,X1, . . . ,Xm) be a random vector. It is desired to predict Y
based on (X1, . . . ,Xm). Examples of prediction methods are regression,
classification using logistic regression or separating h...