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math.OC2026
Fragility of Minimum-Variance Portfolios
Daniel Ovalle, Carl D. Laird, Ignacio E. Grossmann +1
Minimum-variance portfolios are well known to be highly sensitive to covariance estimation error. In this paper, we show that by imposing a block diagonal correlation structure, we…
math.OC2026
Efficient Convexification of Kolmogorov-Arnold Networks with Polynomial Functional Forms Via a Continuous Graham Scan Approach
Tianwei Li, Daniel Ovalle, Barnabas Poczos +3
Deterministic global optimization of nonlinear models is important in many scientific and engineering applications. This framework typically involves repeatedly solving convex rela…
math.OC2023
An easily computable upper bound on the Hoffman constant for homogeneous inequality systems
Javier Peña
Let and . This paper provides a procedure to compute an upper bound on the following homogeneous Hoffman constant: \[…