Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization.
Shu Tong TsePeter A. ForsythYuying LiPublished in: SIAM J. Control. Optim. (2014)
Keyphrases
- optimal control
- optimal selection
- joint optimization
- optimal design
- multi objective
- optimization algorithm
- optimal control problems
- approximately optimal
- dynamic programming
- data points
- feature points
- evolutionary algorithm
- optimization problems
- average distance
- markov chain
- dynamical systems
- global optimization
- constrained optimization
- finding optimal
- portfolio selection
- max min
- optimal solution
- graph embedding
- markov processes
- worst case
- optimization process
- endpoints
- optimization methods
- point sets
- convex hull