6 papers
Vector-valued robust stochastic control
Igor Cialenco, Gabriela Kováčová
We study a dynamic stochastic control problem subject to Knightian uncertainty with multi-objective (vector-valued) criteria. Assuming the preferences across expected multi-loss ve…
Approximations of unbounded convex projections and unbounded convex sets
Gabriela Kováčová, Birgit Rudloff
We consider the problem of projecting a convex set onto a subspace, or equivalently formulated, the problem of computing a set obtained by applying a linear mapping to a convex fea…
Computing the recession cone of a convex upper image via convex projection
Gabriela Kováčová, Firdevs Ulus
It is possible to solve unbounded convex vector optimization problems (CVOPs) in two phases: (1) computing or approximating the recession cone of the upper image and (2) solving th…
Algorithms to solve unbounded convex vector optimization problems
Andrea Wagner, Firdevs Ulus, Birgit Rudloff +2
This paper is concerned with solution algorithms for general convex vector optimization problems (CVOPs). So far, solution concepts and approximation algorithms for solving CVOPs e…
Convex Projection and Convex Multi-Objective Optimization
Gabriela Kováčová, Birgit Rudloff
In this paper we consider a problem, called convex projection, of projecting a convex set onto a subspace. We will show that to a convex projection one can assign a particular mult…
Time consistency of the mean-risk problem
Gabriela Kováčová, Birgit Rudloff
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and…