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I have a rather simple scenario based optimization problem: Maximize $$ Q_1{_s}(A_1{_s}-Q_1{_s}-bQ_2{_s})+ Q_2{_s}(A_2{_s}-Q_2{_s}-bQ_1{_s})-[(Q_1{_s}-K_1)^+ + (Q_2{_s}-K_2)^+]c $$ subject to $Q_1{...

We have a continuous and differentiable function $f(\cdot)$ that maps from $R^n$ to $R^n$. We are trying to solve a nonlinear least square problem: Minimize $J(x)=\Vert f(x)-z\Vert^2$ subject to box ...

Suppose $X\subseteq\mathbb{R}^n$ is a convex set and that a function $g(x,y):X\times X\rightarrow\mathbb{R}_+$ is smooth, "strictly biconvex" (strictly convex in $x$ and $y$ independently but not ...