Duality in a Problem of Static Partial Hedging under Convex Constraints

2015 ◽  
Vol 6 (1) ◽  
pp. 1152-1170
Author(s):  
Erick Trevin͂o-Aguilar
Keyword(s):  
Convex Constraints ◽  
Partial Hedging

scholarly journals Contractors and Linear Matrix Inequalities

2015 ◽  
Vol 1 (3) ◽  
Author(s):  
Jeremy Nicola ◽  
Luc Jaulin
Keyword(s):  
Fixed Point ◽  
Large Class ◽  
Linear Matrix Inequalities ◽  
Interior Point ◽  
Interior Point Methods ◽  
Linear Constraints ◽  
Linear Matrix ◽  
Nonlinear Constraints ◽  
Matrix Inequalities ◽  
Convex Constraints

Linear matrix inequalities (LMIs) comprise a large class of convex constraints. Boxes, ellipsoids, and linear constraints can be represented by LMIs. The intersection of LMIs are also classified as LMIs. Interior-point methods are able to minimize or maximize any linear criterion of LMIs with complexity, which is polynomial regarding to the number of variables. As a consequence, as shown in this paper, it is possible to build optimal contractors for sets represented by LMIs. When solving a set of nonlinear constraints, one may extract from all constraints that are LMIs in order to build a single optimal LMI contractor. A combination of all contractors obtained for other non-LMI constraints can thus be performed up to the fixed point. The resulting propogation is shown to be more efficient than other conventional contractor-based approaches.

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