abstract it is the purpose of this article to introduce a linear approximation technique for solving a fractional chance constrained programming (cc) problem. for this purpose, a fuzzy goal programming model of the equivalent deterministic form of the fractional chance constrained programming is provided and then the process of defuzzification and linearization of the problem is started. a samp...

one of the significant strategies of the power systems is economic dispatch (ed) problem, which is defined as the optimal generation of power units to produce energy at the lowest cost by fulfilling the demand within several limits. the undeniable impacts of ramp rate limits, valve loading, prohibited operating zone, spinning reserve and multi-fuel option on the economic dispatch of practical p...

I develop a multi-account alpha-tracking error framework that simultaneously optimizes across an investor’s multiple accounts with different tax treatments, existing holdings, lots, and opportunity sets while considering taxes trade costs in single optimization. The objective function includes optional term for nonpecuniary preferences, such as various environmental, social, governance (ESG) ch...

We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization methods. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization problems with tran...