Stanislav Zakovic

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In this paper we propose an algorithm for the constrained continuous minimax problem. The algorithm, motivation and numerical experience are reported in this paper. Theoretical properties, and the convergence of the proposed method are discussed in a separate paper[31]. The algorithm uses quasi–Newton search direction, based on sub–gradient information ,(More)
In this paper, we consider expected value, variance and worst–case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies based on expected value optimization and worst-case ro-bustness. The latter(More)
The implementation results of an algorithm designed to solve semi-inÿnite programming problems are reported. Due to its computational intensity, parallelisation is used in two stages of the algorithm—for evaluating the global optimum and for checking the feasibility of constraints. The algorithms are parallelised using MPI—the message passing interface. The(More)
In this paper, we consider expected value, variance and worst– case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies based on expected value optimization and worst-case robustness. The latter(More)
This study investigates the consistency of Basel II and the Capital Requirements Directive (CRD) by comparing capital charges for private equity investments under the RWA and the internal model approach. We use a structural model on a proprietary dataset of leveraged buy-outs (LBOs). The structure of LBOs requires us to modify the standard structural model(More)
This paper presents a primal-dual interior-point algorithm for solving general constrained nonlinear programming problems. The inequality constraints are incorporated into the objective function by means of a logarithmic barrier function. Also, satisfaction of the equality constraints is enforced through the use of an adaptive qua-dratic penalty function.(More)
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