An optimal investment strategy tailored to two types of uncertainties

People invest in projects to make a profit. If the cost of investment is larger than the revenue, a rational person would not invest. Though these two statements may seem trivial, the reality is that it is often difficult to know what the expected costs and payoffs are. Like with any prediction in the future, there is always a level of...

Kernel-based interior-point methods for monotone linear complementarity problems over symmetric cones

We present an interior-point method for monotone linear complementarity problems over symmetric cones (SCLCP) that is based on barrier functions which are defined by a large class of univariate functions, called eligible kernel functions. This class is fairly general and includes the classical logarithmic function, the self-regular functions, as...

Unified Analysis of Kernel-Based Interior-Point Methods for P?(?)-Linear Complementarity Problems

We present an interior-point method for the P?(?)-linear complementarity problem (LCP) that is based on barrier functions which are defined by a large class of univariate functions called eligible kernel functions. This class is fairly general and includes the classical logarithmic function and the self-regular functions, as well as many non...