Dual solutions in convex stochastic optimization

This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex space of random variables. It implies, in particular, the necessity of scenario-wise optimality conditions that are behind many fundamental … Read more

Convexity and continuity of specific set-valued maps and their extremal value functions

In this paper, we study several classes of set-valued maps, which can be used in set-valued optimization and its applications, and their respective maximum and minimum value functions. The definitions of these maps are based on scalar-valued, vector-valued, and cone-valued maps. Moreover, we consider those extremal value functions which are obtained when optimizing linear functionals … Read more

Dynamic programming in convex stochastic optimization

This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in the 1970s. We extend the applicability of the theory by relaxing compactness and boundedness assumptions. In the context of financial mathematics, the relaxed assumptions are satisfied under the well-known no-arbitrage condition and the reasonable asymptotic elasticity … Read more

Convex Chance-Constrained Programs with Wasserstein Ambiguity

Chance constraints yield non-convex feasible regions in general. In particular, when the uncertain parameters are modeled by a Wasserstein ball, [Xie19] and [CKW18] showed that the distributionally robust (pessimistic) chance constraint admits a mixed-integer conic representation. This paper identifies sufficient conditions that lead to convex feasible regions of chance constraints with Wasserstein ambiguity. First, when … Read more

Structural Properties of Feasible Bookings in the European Entry-Exit Gas Market System

In this work we analyze the structural properties of the set of feasible bookings in the European entry-exit gas market system. We present formal definitions of feasible bookings and then analyze properties that are important if one wants to optimize over them. Thus, we study whether the sets of feasible nominations and bookings are bounded, … Read more

On max-k-sums

The max-$k$-sum of a set of real scalars is the maximum sum of a subset of size $k$, or alternatively the sum of the $k$ largest elements. We study two extensions: First, we show how to obtain smooth approximations to functions that are pointwise max-$k$-sums of smooth functions. Second, we discuss how the max-$k$-sum can … Read more

Worst case complexity of direct search under convexity

In this paper we prove that the broad class of direct-search methods of directional type, based on imposing sufficient decrease to accept new iterates, exhibits the same global rate or worst case complexity bound of the gradient method for the unconstrained minimization of a convex and smooth function. More precisely, it will be shown that … Read more

Algebraic Relaxations and Hardness Results in Polynomial Optimization and Lyapunov Analysis

The contributions of the first half of this thesis are on the computational and algebraic aspects of convexity in polynomial optimization. We show that unless P=NP, there exists no polynomial time (or even pseudo-polynomial time) algorithm that can decide whether a multivariate polynomial of degree four (or higher even degree) is globally convex. This solves … Read more

A Complete Characterization of the Gap between Convexity and SOS-Convexity

Our first contribution in this paper is to prove that three natural sum of squares (sos) based sufficient conditions for convexity of polynomials via the definition of convexity, its first order characterization, and its second order characterization are equivalent. These three equivalent algebraic conditions, henceforth referred to as sos-convexity, can be checked by semidefinite programming … Read more

Twice differentiable characterizations of convexity notions for functions on full dimensional convex sets

We derive $C^2-$characterizations for convex, strictly convex, as well as uniformly convex functions on full dimensional convex sets. In the cases of convex and uniformly convex functions this weakens the well-known openness assumption on the convex sets. We also show that, in a certain sense, the full dimensionality assumption cannot be weakened further. In the … Read more