Huifu Xu

A Semi-Infinite Programming Approach for Distributionally Robust Reward-Risk Ratio Optimization with Matrix Moments Constraints

  • Yongchao Liu
  • Rudabeh Meskarian
  • Huifu Xu
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    Reward-risk ratio optimization is an important mathematical approach in finance. In this paper, we revisit the model by considering a situation where an investor does not have complete information on the distribution of the underlying uncertainty and consequently a robust action is taken against the risk arising from ambiguity of the true distribution. We propose … Read more

    Confidence Levels for CVaR Risk Measures and Minimax Limits

  • Edward Anderson
  • Huifu Xu
  • Dali Zhang
    • Categories Robust Optimization, Semi-infinite Programming, Stochastic Programming

    Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this paper, we present a quantitative analysis of the relationship between the two risk measures and its … Read more

    Asymptotic Convergence Analysis for Distributional Robust Optimization and Equilibrium Problems

  • Hailin Sun
  • Huifu Xu
    • Categories Robust Optimization Tags , , ,

    In this paper, we study distributional robust optimization approaches for a one stage stochastic minimization problem, where the true distribution of the underlying random variables is unknown but it is possible to construct a set of probability distributions which contains the true distribution and optimal decision is taken on the basis of worst possible distribution … Read more

    Quantitative Stability Analysis of Stochastic Generalized Equations

  • Yongchao Liu
  • Werner Romisch
  • Huifu Xu
    • Categories Stochastic Programming Tags , , , , , , ,

    We consider the solution of a system of stochastic generalized equations (SGE) where the underlying functions are mathematical expectation of random set-valued mappings. SGE has many applications such as characterizing optimality conditions of a nonsmooth stochastic optimization problem and a stochastic equilibrium problem. We derive quantitative continuity of expected value of the set-valued mapping with … Read more