13 citations · 25 across the 16 of their papers we have counts for
19 papers
Scenario-based Regularization: A Tractable Framework for Distributionally Robust Stochastic Optimization
Diego Fonseca, Mauricio Junca
We propose a flexible scenario-based regularized Sample Average Approximation (SBR-SAA) framework for stochastic optimization. This work is motivated by challenges in standard Wass…
Apprenticeship learning with prior beliefs using inverse optimization
Mauricio Junca, Esteban Leiva
The relationship between inverse reinforcement learning (IRL) and inverse optimization (IO) for Markov decision processes (MDPs) has been relatively underexplored in the literature…
An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward
Mauricio Junca, Harold Moreno-Franco, Jose Luis Perez
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contr…
Decision-dependent Distributionally Robust Optimization
Diego Fonseca, Mauricio Junca
This work presents a new Distributionally Robust Optimization approach, using -Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in th…
Wasserstein Distributionally Robust Optimization with Expected Value Constraints
Diego Fonseca, Mauricio Junca
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using W…
Moment-SOS hierarchy and exit time of stochastic processes
Didier Henrion, Mauricio Junca, Mauricio Velasco
The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equat…
Optimal bail-out dividends problem with transaction cost and capital injection constraint
Mauricio Junca, Harold Moreno-Franco, José Luis Pérez
We consider the bail-out optimal dividend problem under fixed transaction costs for a Lévy risk model. Furthermore, we consider the version with a constraint expected net present v…
On reachability of Markov chains: A long-run average approach
Daniel Avila, Mauricio Junca
We consider a Markov control model in discrete time with countable both state space and action space. Using the value function of a suitable long-run average reward problem, we stu…
Optimality of refraction strategies for a constrained dividend problem
Mauricio Junca, Harold Moreno-Franco, José-Luis Pérez +1
We consider de Finetti's problem for spectrally one-sided Lévy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore,…
Compressive sensing and truncated moment problems on spheres
Hernán García, Camilo Hernández, Mauricio Junca +1
We propose convex optimization algorithms to recover a good approximation of a point measure on the unit sphere from its moments with respect to a set…
A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
Camilo Hernandez, Mauricio Junca, Harold Moreno-Franco
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in cont…
Compressed sensing of data with a known distribution
Mateo Díaz, Mauricio Junca, Felipe Rincón +1
Compressed sensing is a technique for recovering an unknown sparse signal from a small number of linear measurements. When the measurement matrix is random, the number of measureme…
Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Mauricio Junca, Rafael Serrano
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consi…
Optimal dividend payment under time of ruin contraint: Exponential case
Camilo Hernandez, Mauricio Junca
We consider the classical optimal dividends problem under the Cramér-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual…
An optimal maintenance policy for systems subject to shocks and progressive deterioration
Mauricio Junca
We define a model of a system that deteriorate as a result of (i) shocks, modeled as a compound Poisson process and (ii) deterministic, state dependent progressive rate, with varia…
Optimal Maintenance Policy for a Compound Poisson Shock Model
Mauricio Junca, Mauricio Sanchez-Silva
Engineered and infrastructure systems deteriorate (e.g., loss capacity) as a result of adverse environmental or external conditions. Modeling deterioration is essential to define o…
The maximum cut problem on blow-ups of multiprojective spaces
Mauricio Junca Mauricio Velasco
The maximum cut problem for a quintic del Pezzo surface asks: Among all partitions of the 10 exceptional curves into two disjoint sets, what is the lar…
Stochastic impulse control on optimal execution with price impact and transaction cost
Mauricio Junca
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset af…
Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
Mauricio Junca
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affec…