The purpose of this note is to give a probability bound on symmetric matrices to improve an error bound in the Approximate S-Lemma used in establishing levels of conservatism resu...
We propose online decision strategies for time-dependent sequences of linear programs which use no distributional and minimal geometric assumptions about the data. These strategies...
Tatsiana Levina, Yuri Levin, Jeff McGill, Mikhail ...
We clarify a financial meaning of duality in the semi-infinite programming problem which emerges in the context of determining a derivative price range based only on the no-arbi...
In ergodic MDPs we consider stationary distributions of policies that coincide in all but n states, in which one of two possible actions is chosen. We give conditions and formulas...
We establish the existence results for the Allaz–Vila [B. Allaz, J.-L. Vila, Cournot competition, forward markets and efficiency, J. Econ. Theory 59 (1993) 1–16] forward mark...