SIAM Journal on Numerical Analysis, Vol. 46, No. 1 (2007/2008), pp. 180-200 (21 pages) A wide variety of problems in global optimization, combinatorial optimization, as well as systems and control ...

This paper addresses the issue of which strong duality holds between parametric robust semi-definite linear optimization problems and their dual programs. In the case of a spectral norm uncertainty ...

When interest rate dynamics are described by the Libor market model as in Brace et al (1997), we show how some essential risk-management results can be obtained from the dual of the calibration ...

We propose a new approach for failure discriminant analysis. The basic idea of the new method is to separate multi dimensional financial data corresponding to ongoing and failed companies by an ...