mathematical optimization

Optimal counterfactual explanations for k-Nearest Neighbors using Mathematical Optimization and Constraint Programming

  • Thibaut Vidal
  • Ricardo Fukasawa
  • Louis-Martin Rousseau
  • Claudio Contardo
    • Categories Applications - Science and Engineering, Data Science Algorithms Tags , , , ,

    \(\) Within the topic of explainable AI, counterfactual explanations to classifiers have received significant recent attention. We study counterfactual explanations that try to explain why a data point received an undesirable classification by providing the closest data point that would have received a desirable one. Within the context of one the simplest and most popular … Read more

    A Framework for Mathematical Optimization in Microservice Architectures

  • Andrea Cassioli
  • Stefan Guericke
    • Categories Applications - OR and Management Sciences, Optimization Software and Modeling Systems, Optimization Software Design Principles Tags , ,

    In the last years, the gap between solution methods in literature and optimization running in production has increased. Agile development practices, DevOps and modern cloud-based infrastructure call for a revisit of how optimization software is developed. We review the state-of-the-art, propose a development framework that can be applied across different programming languages and modeling frameworks … Read more

    Application of outer approximation to forecasting losses and scenarios in the target of portfolios with high of nonlinear risk

  • Katsuhiro Tanaka
    • Categories Finance and Economics, Global Optimization Applications Tags , , , ,

    The purpose of this paper is to find appropriate solutions to concave quadratic programming using outer approximation algorithm, which is one of the algorithm of global optimization, in the target of the strong of concavity of object function i.e. high of nonlinear risk of portfolio. Firstly, my target model is a mathematical optimization programming to … Read more

    Forecasting conceivable interest rate market scenarios and significant losses on interest rate portfolios using mathematical optimization

  • Katsuhiro Tanaka
    • Categories Constrained Nonlinear Optimization, Finance and Economics Tags , , , , ,

    This study proposes a mathematical optimization programming model that simultaneously forecasts interest rate market scenarios and significant losses on interest rate market portfolios. The model includes three main components. A constraint condition is set using the Mahalanobis distance, which consists of innovation terms in a dynamic conditional correlation-generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model that represent … Read more