3 papers
math.OC2019
High-order Moment Portfolio Optimization via An Accelerated Difference-of-Convex Programming Approach and Sums-of-Squares
Yi-Shuai Niu, Ya-Juan Wang, Hoai An Le Thi +1
The Mean-Variance-Skewness-Kurtosis (MVSK) portfolio optimization model is a quartic nonconvex polynomial minimization problem over a polytope, which can be formulated as a Differe…
math.OC2018
On Difference-of-SOS and Difference-of-Convex-SOS Decompositions for Polynomials
Yi-Shuai Niu, Hoai An Le Thi, Dinh Tao Pham
In this article, we are interested in developing polynomial decomposition techniques based on sums-of-squares (SOS), namely the difference-of-sums-of-squares (D-SOS) and the differ…
math.OC2017
Improved DC Programming Approaches for Solving the Quadratic Eigenvalue Complementarity Problem
Yi-Shuai Niu, Joaquim Judice, Hoai An Le thi +1
In this paper, we discuss the solution of a Quadratic Eigenvalue Complementarity Problem (QEiCP) by using Difference of Convex (DC) programming approaches. We first show that QEiCP…