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math.OC2022
Robust approximation of chance constrained optimization with polynomial perturbation
Bo Rao, Liu Yang, Suhan Zhong +1
This paper proposes a robust approximation method for solving chance constrained optimization (CCO) of polynomials. Assume the CCO is defined with an individual chance constraint t…
math.OC2022
Global optimization for the portfolio selection model with high-order moments
Liu Yang, Yi Yang, Suhan Zhong
In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk p…