Nonconcave robust optimization with discrete strategies under Knightian uncertainty

• المؤلفون الرئيسيون: Neufeld, Ariel, Šikić, Mario
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2020
• الموضوعات: Science::Mathematics; Nonconcave Robust Optimization; Robust Utility Maximization
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/143210
• المؤسسة: Nanyang Technological University

We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer e...