Temat: robust optimization - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Necessary optimality conditions for robust nonsmooth multiobjective optimization problems
Autorzy:: Gadhi, Nazih Abderrazzak
Ohda, Mohamed
Powiązania:: https://bibliotekanauki.pl/articles/2183482.pdf
Data publikacji:: 2022
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: convexificator
directional constraint qualification
efficient solution
optimality conditions
robust multiobjective optimization
Opis:: This paper deals with a robust multiobjective optimization problem involving nonsmooth/nonconvex real-valued functions. Under an appropriate constraint qualification, we establish necessary optimality conditions for weakly robust efficient solutions of the considered problem. These optimality conditions are presented in terms of Karush-Kuhn-Tucker multipliers and convexificators of the related functions. Examples illustrating our findings are also given.
Źródło:: Control and Cybernetics; 2022, 51, 3; 289--302
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Performance of robust portfolio optimization in crisis periods
Autorzy:: Balcilar, M.
Ozun, A.
Powiązania:: https://bibliotekanauki.pl/articles/205665.pdf
Data publikacji:: 2013
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: robust control procedures
RobustRisk
portfolio optimization
Monte Carlo simulation
global crisis
Opis:: We examin empirical performances of two alterna- tive robust optimization models, namely the worst-case conditional value-at-risk (worst-case CVaR) model and the nominal conditional value-at-risk (CVaR) model in crisis periods. Both models are based on historical value-at-risk methodology. These performances are compared by using a portfolio constructed on the basis of daily clos- ing values of different stock indices in developed markets using data from 1990 to 2013. An empirical evidence is produced with Ro- bustRisk software application. Both a Monte-Carlo simulation and an out-of-sample test show that robust optimization with worst-case CVaR model outperforms the nominal CVaR model in the crisis peri- ods. However, the trade-off between model misspecification risk and return maximization depending on the market movements should be optimized in a robust model selection.
Źródło:: Control and Cybernetics; 2013, 42, 4; 855-871
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Robust H∞ control for a class of uncertain neutral systems with both state and control input time-varying delays via a unified LMI optimization approach
Autorzy:: Chen, J. D.
Yang, C. D.
Lin, K. J.
Lien, C. H.
Powiązania:: https://bibliotekanauki.pl/articles/970609.pdf
Data publikacji:: 2008
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: robust H[infinity] control
neutral systems
unified LMI approach
convex optimization approach
delay-dependent criterion
Opis:: The robust H∞ control problem is considered for a class of uncertain neutral system involving both state and control input time-varying delays. The uncertainties under consideration are nonlinear time-varying parameter perturbations. The methodology is based on the Lyapunov functional combined with a unified LMI approach, and a new delay-dependent criterion is proposed to guarantee the stabilization and disturbance attenuation of systems. Moreover, a convex optimization approach is used to solve the robust H∞ control disturbance attenuation problem. Finally, a numerical example is illustrated to show the validity of this paper. The simulation results reveal significant improvement over the recent results.
Źródło:: Control and Cybernetics; 2008, 37, 3; 517-530
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

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