2 papers
math.OC2026
Solving Chance Constrained Programs via a Penalty based Difference of Convex Approach
Zhiping Li, Nan Jiang, Rujun Jiang
We develop two penalty based difference of convex (DC) algorithms for solving chance constrained programs. First, leveraging a rank-based DC decomposition of the chance constraint,…
math.OC2025
An Alternating Direction Method of Multipliers for Utility-based Shortfall Risk Portfolio Optimization
Rufeng Xiao, Zhiping Li, Rujun Jiang
Utility-based shortfall risk (UBSR), a convex risk measure sensitive to tail losses, has gained popularity in recent years. However, research on computational methods for UBSR opti…