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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/289260
Description: A problem of minimization of L₁-penalized conditional value-at-risk (CVaR) is considered. It is shown that there exists a non-negative threshold value of the penalty parameter such that the optimal va ... More
Reviewed: Reviewed
Date: 2009
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/289339
Description: Deterministic long run average optimal control problems and, in particular, periodic optimization problems are related to certain infinite-dimensional linear programming (LP) problems, which can be ap ... More
Reviewed: Reviewed
Date: 2009
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/312110
Description: We investigate relationships between the deterministic infinite time horizon optimal control problem with discounting, in which the state trajectories remain in a given compact set Y, and a certain in ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/288319
Description: It has been established recently that, under mild conditions, deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite-dimensional linear programming prob ... More
Full Text: Full Text
Reviewed: Reviewed
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