4 papers
Safe screening rules for portfolio optimization with linear and cardinality constraints
Nanari Wada, Shunnosuke Ikeda, Yuichi Takano +1
In portfolio optimization, a cardinality constraint, which limits the number of assets held, plays a key role in cutting down monitoring and transaction costs. However, the resulti…
Posterior and Likelihood Sensitivity in Bayesian Distributionally Robust Optimization
Jun-ya Gotoh, Andrew E. B. Lim, Michael Jong Kim
We introduce the notion of worst-case posterior and worst-case likelihood sensitivity. These measure, respectively, the sensitivity of the expected cost to worst-case perturbations…
Robustness Measures in Distributionally Robust Optimization
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO…
EM algorithms for optimization problems with polynomial objectives
Kensuke Asai, Jun-ya Gotoh
The EM (Expectation-Maximization) algorithm is regarded as an MM (Majorization-Minimization) algorithm for maximum likelihood estimation of statistical models. Expanding this view,…