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 ...

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 ...

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 ...