22 citations · 24 across the 3 of their papers we have counts for
5 papers
Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques
Onur Babat, Juan C. Vera, Luis F. Zuluaga
Value-at-Risk (VaR) is one of the main regulatory tools used for risk management purposes. However, it is difficult to compute optimal VaR portfolios; that is, an optimal risk-rewa…
Equivalence and invariance of the chi and Hoffman constants of a matrix
Javier F. Pena, Juan C. Vera, Luis F. Zuluaga
We show that the following two condition measures of a full column rank matrix are identical: the chi constant and a signed Hoffman constant. This id…
New characterizations of Hoffman constants for systems of linear constraints
Javier Pena, Juan Vera, Luis Zuluaga
We give a characterization of the Hoffman constant of a system of linear constraints in {\em relative} to a {\em reference polyhedron} . The reference polyhe…
An algorithm to compute the Hoffman constant of a system of linear constraints
Javier Pena, Juan Vera, Luis Zuluaga
We propose a combinatorial algorithm to compute the Hoffman constant of a system of linear equations and inequalities. The algorithm is based on a characterization of the Hoffman c…
Positive polynomials on unbounded domains
Javer Pena, Juan C. Vera, Luis F. Zuluaga
Certificates of non-negativity such as Putinar's Positivstellensatz have been used to obtain powerful numerical techniques to solve polynomial optimization (PO) problems. Putinar's…