12 citations · 57 across the 23 of their papers we have counts for
4 papers · 1 filter
Constrained Global Optimization by Smoothing
Vladimir Norkin, Alois Pichler, Anton Kozyriev
This paper proposes a novel technique called "successive stochastic smoothing" that optimizes nonsmooth and discontinuous functions while considering various constraints. Our metho…
Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods
Vladimir Norkin, Alois Pichler
The paper addresses general constrained and non-linear optimization problems. For some of these notoriously hard problems, there exists a reformulation as an unconstrained, global…
Unbalanced Optimal Transport and Maximum Mean Discrepancies: Interconnections and Rapid Evaluation
Rajmadan Lakshmanan, Alois Pichler
This contribution presents substantial computational advancements to compare measures even with varying masses. Specifically, we utilize the nonequispaced fast Fourier transform to…
Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization
Rajmadan Lakshmanan, Alois Pichler
This paper features expectiles in dynamic and stochastic optimization. Expectiles are a family of risk functionals characterized as minimizers of optimization problems. For this re…