7 papers
Distributionally robust shortfall risk portfolio model with moment ambiguity sets
Yi Yang, Liu Yang, Suhan Zhong
This paper employs shortfall risk to measure portfolio risk. Assume stock returns follow polynomial relations with their influence factors. We propose a moment-based distributional…
Sparse Copositive Polynomial Optimization
Suhan Zhong, Jinling Zhou, Jiawang Nie +1
This paper studies the copositive optimization problem whose objective is a sparse polynomial, with linear constraints over the nonnegative orthant. We propose sparse Moment-SOS re…
Partial Lagrange Multiplier Expressions and Disjunctive Decompositions for Bilevel Optimization
Jiawang Nie, Jane J. Ye, Suhan Zhong
This paper studies bilevel polynomial optimization in which lower-level constraint functions depend linearly on lower-level variables. We show that such bilevel program can be refo…
Log-Polynomial Optimization
Jiyoung Choi, Jiawang Nie, Xindong Tang +1
We study an optimization problem in which the objective is given as a sum of logarithmic-polynomial functions. This formulation is motivated by statistical estimation principles su…
A global approach for generalized semi-infinte programs with polyhedral parameter sets
Xiaomeng Hu, Jiawang Nie, Suhan Zhong
This paper studies generalized semi-infinite programs (GSIPs) defined with polyhedral parameter sets. Assume these GSIPs are given by polynomials. We propose a new approach to solv…
Moment Relaxations for Data-Driven Wasserstein Distributionally Robust Optimization
Shixuan Zhang, Suhan Zhong
We propose moment relaxations for data-driven Wasserstein distributionally robust optimization problems. Conditions are identified to ensure asymptotic consistency of such relaxati…