This is a preview. Log in through your library . Abstract We apply conjugate duality to establish the existence of optimal portfolios in an assetallocation problem, with the goal of minimizing the ...

The goal of this course is to investigate in-depth and to develop expert knowledge in the theory and algorithms for convex optimization. This course will provide a rigorous introduction to the rich ...

This paper addresses the issue of which strong duality holds between parametric robust semi-definite linear optimization problems and their dual programs. In the case of a spectral norm uncertainty ...

The course will take an in-depth look at the main concepts and algorithms in convex optimization. The goal is to develop expert knowledge in duality and in the design and analysis of algorithms for ...