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math.OC2026
Euler Cutting Planes for Fractional CVaR Programming
Pranay Seshadri, Hubert Dzieciol, Zhe Feng +1
We maximise expected reward per unit of marginal tail risk, a reward-to-CVaR ratio against a baseline. The standard Dinkelbach route re-solves a Rockafellar--Uryasev LP or QP with…
math.OC2014★ 2 cited
A density-matching approach for optimization under uncertainty
Pranay Seshadri, Paul Constantine, Gianluca Iaccarino +1
Modern computers enable methods for design optimization that account for uncertainty in the system---so-called optimization under uncertainty. We propose a metric for OUU that meas…