We consider a collection of derivatives that depend on the price an underlying asset at expiration or maturity. The absence arbitrage is equivalent to existence risk-neutral probability distribution price; in particular, any risk neutral can be interpreted as certificate establishing no exists. are interested case when there multiple probabilities. describe number convex optimization problems o...

In this article we study support vector machine (SVM) classifiers in the face of uncertain knowledge sets and show how data uncertainty in knowledge sets can be treated in SVM classification by employing robust optimization. We present knowledge-based SVM classifiers with uncertain knowledge sets using convex quadratic optimization duality. We show that the knowledge-based SVM, where prior know...

A vast majority of machine learning algorithms train their models and perform inference by solving optimization problems. In order to capture the learning and prediction problems accurately, structural constraints such as sparsity or low rank are frequently imposed or else the objective itself is designed to be a non-convex function. This is especially true of algorithms that operate in high-di...

In CDMA wireless networks the optimal routing of data depends on the link capacities which, in turn, are determined by the allocation of transmit powers to the links. The optimal performance of the network can only be achieved by simultaneous optimization of routing and power allocation. In this paper, we study this joint optimization problem in CDMA data networks using convex optimization tech...