uncertainty set

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

    Data-Driven Robust Optimization Based on Kernel Learning

  • Xiaolin Huang
  • Chao Shang
  • Fengqi You
    • Categories Chemical Engineering, Robust Optimization Tags , , , ,

    We propose piecewise linear kernel-based support vector clustering (SVC) as a new approach tailored to data-driven robust optimization. By solving a quadratic program, the distributional geometry of massive uncertain data can be effectively captured as a compact convex uncertainty set, which considerably reduces conservatism of robust optimization problems. The induced robust counterpart problem retains the … Read more

    Robust Sensitivity Analysis of the Optimal Value of Linear Programming

  • Samuel Burer
  • Guanglin Xu
    • Categories Quadratic Programming, Robust Optimization, Semi-definite Programming Tags , , , , ,

    We propose a framework for sensitivity analysis of linear programs (LPs) in minimiza- tion form, allowing for simultaneous perturbations in the objective coefficients and right-hand sides, where the perturbations are modeled in a compact, convex uncertainty set. This framework unifies and extends multiple approaches for LP sensitivity analysis in the literature and has close ties … Read more