arXiv subjects

Abdel Lisser

Publications and source records attributed to Abdel Lisser.

13 recordsLinked to original sources

arXiv2026

Distributionally Robust Complex Chance-Constrained Optimization

This paper introduces a framework for Chance-Constrained Optimization with Complex Variables, addressing complex linear programming for both individual and joint probabilistic constraints in the complex domain. We first analyze the 3CP model in the density-based setting under the assumption that the random parameters follow a Complex Elliptically Symmetric distribution. The framework is then extended to distributionally robust settings, which include a moment-based model where the moments are known or bounded; a support-based model, where the ambiguity set contains distributions supported on norm-bounded uncertainty sets; and a data-driven model where moments are estimated empirically. The individual constraints are transformed into a convex deterministic second-order cone problem. We employ copula theory to the joint probability constraints and derive both upper and lower approximations. Finally, we demonstrate the proposed framework on the minimum variance distortionless response beamforming problem in signal processing. We further evaluate empirical out-of-sample rates and show that the observed behavior closely matches the prescribed probabilistic guarantees.

math.OC↗

arXiv2026

A Complex-Valued Continuous-Variable Quantum Approximation Optimization Algorithm (CCV-QAOA)

Continuous-variable (CV) quantum systems offer a natural framework for continuous optimization through their infinite-dimensional Hilbert spaces. In this paper, we propose the Complex Continuous-Variable Quantum Approximate Optimization Algorithm (CCV-QAOA), a variational framework operating in the complex domain that optimizes over complex decision variables. The method efficiently solves real and complex multivariate optimization problems. To demonstrate its versatility, we apply CCV-QAOA across a broad suite of optimization use cases, including convex quadratic minimization, scaling studies with circuit depth and cutoff dimension, constrained quadratic programs using penalty constructions, and non-convex benchmarks such as the Styblinski-Tang function and complex quartic landscapes.

quant-ph↗

arXiv2026

Robust Chance Constrained Complex Zero-Sum Games

This paper develops a unified framework for zero-sum games in which both the pure strategies and the payoff matrices contain complex-valued entries. By leveraging a linear isomorphism between complex and real vector spaces, we extend key results from real-valued convex analysis to the complex domain, establishing the validity of the minimax theorem and the preservation of saddle-point structure. Building on this foundation, we formulate a complex zero-sum game model that enables mixed strategies to interact with the real and imaginary components of the payoff matrix, and we characterize its saddle-point equilibrium through associated primal and dual problems. To incorporate uncertainty, we introduce a complex chance-constrained zero-sum game model (3CP) that handles individual probabilistic constraints defined by complex linear functionals. We first study the 3CP formulation under known exact distributions, focusing on Complex Elliptically Symmetric random variables, which generalize the complex Gaussian family. The framework is then extended to moments-based ambiguity sets, including: (i) distributions with known first two moments, (ii) distributions with unknown second-order moments, and (iii) fully distributed with unknown moments. In all cases, the probabilistic constraints admit deterministic second-order cone representations, ensuring convex feasible strategy sets and enabling explicit characterization of the complex game value. Numerical experiments, including a transmitter--jammer waveform interaction model, show how the proposed framework captures the behavior of complex mixed strategies. Additionally, we evaluate out-of-sample rates and confirm that practical behavior closely aligns with the theoretical guarantees.

math.GM↗

arXiv2026

Learning PDEs for Portfolio Optimization with Quantum Physics-Informed Neural Networks

Partial differential equations (PDEs) play a crucial role in financial mathematics, particularly in portfolio optimization, and solving them using classical numerical or neural network methods has always posed significant challenges. Here, we investigate the potential role of quantum circuits for solving PDEs. We design a parameterized quantum circuit (PQC) for implementing a polynomial based on tensor rank decomposition, reducing the quantum resource complexity from exponential to polynomial when the corresponding tensor rank is moderate. Building on this circuit, we develop a Quantum Physics-Informed Neural Network (QPINN) and a Quantum-inspired PINN, both of which guarantee the existence of an approximation of the PDE solution, and this approximation can be represented as a polynomial that incorporates tensor rank decomposition. Numerical experiments are conducted on the Hamilton--Jacobi--Bellman (HJB) PDE arising from the Merton portfolio optimization problem, which determines the optimal investment fraction between a risky and a risk-free asset. The results show that our quantum models achieve lower losses and approximation errors than a classical fully connected PINN while using substantially fewer trainable parameters. Our quantum models further outperform a classical PINN constructed to share a similar inductive bias, providing experimental evidence of quantum-induced improvement in the tested settings and highlighting a resource-efficient pathway toward classical and near-term quantum solvers for PDEs with exploitable solution structure.

quant-ph↗

arXiv2026

Decision-dependent distributionally robust standard quadratic optimization with Wasserstein ambiguity

The standard quadratic optimization problem (StQP) consists of minimizing a quadratic form over the standard simplex. Without assuming convexity or concavity of the quadratic form, the StQP is NP-hard. This problem has many interesting applications ranging from portfolio optimization to machine learning. Sometimes, the data matrix is uncertain but some information about its distribution can be inferred, e.g. a distance to a reference distribution (typically, the empirical distribution after sampling). In distributionally robust optimization, the goal is to hedge against the worst case of all possible distributions in an ambiguity set, defined by above mentioned distance. In this paper we will focus on distributionally robust StQPs under Wasserstein distance, and show equivalence to an accordingly modified deterministic instance of an StQP. This blends well into recent findings for other approaches of StQPs under uncertainty. We will also address out-of-sample performance guarantees. Carefully designed experiments shall complement and illustrate the approach.

math.OC↗

arXiv2026

Distributionally Robust Geometric Joint Chance-Constrained Optimization: Neurodynamic Approaches

This paper proposes a two-time scale neurodynamic duplex approach to solve distributionally robust geometric joint chance-constrained optimization problems. The probability distributions of the row vectors are not known in advance and belong to a certain distributional uncertainty set. In our paper, we study three uncertainty sets for the unknown distributions. The neurodynamic duplex is designed based on three projection equations. The main contribution of our work is to propose a neural network-based method to solve distributionally robust joint chance-constrained optimization problems that converges in probability to the global optimum without the use of standard state-of-the-art solving methods. We show that neural networks can be used to solve multiple instances of a problem. In the numerical experiments, we apply the proposed approach to solve a problem of shape optimisation and a telecommunication problem.

cs.NE↗

arXiv2025

Convex Approximations of Random Constrained Markov Decision Processes

Constrained Markov decision processes (CMDPs) are used as a decision-making framework to study the long-run performance of a stochastic system. It is well-known that a stationary optimal policy of a CMDP problem under discounted cost criterion can be obtained by solving a linear programming problem when running costs and transition probabilities are exactly known. In this paper, we consider a discounted cost CMDP problem where the running costs and transition probabilities are defined using random variables. Consequently, both the objective function and constraints become random. We use chance constraints to model these uncertainties and formulate the uncertain CMDP problem as a joint chance-constrained Markov decision process (JCCMDP). Under random running costs, we assume that the dependency among random constraint vectors is driven by a Gumbel-Hougaard copula. Using standard probability inequalities, we construct convex upper bound approximations of the JCCMDP problem under certain conditions on random running costs. In addition, we propose a linear programming problem whose optimal value gives a lower bound to the optimal value of the JCCMDP problem. When both running costs and transition probabilities are random, we define the latter variables as a sum of their means and random perturbations. Under mild conditions on the random perturbations and random running costs, we construct convex upper and lower bound approximations of the JCCMDP problem. We analyse the quality of the derived bounds through numerical experiments on a queueing control problem for random running costs. For the case when both running costs and transition probabilities are random, we choose randomly generated Markov decision problems called Garnets for numerical experiments.

math.OC↗

arXiv2025

Chance-Constrained Optimization with Complex Variables

Optimization problems involving complex variables, when solved, are typically transformed into real variables, often at the expense of convergence rate and interpretability. This paper introduces a novel formalism for a prominent problem in stochastic optimization involving complex random variables, termed the Complex Chance-Constrained Problem (CCCP). The study specifically examines the linear CCCP under complex normal distributions for two scenarios: one with individual probabilistic constraints and the other with joint probabilistic constraints. For the individual case, the core methodology reformulates the CCCP into a deterministic Second-Order Cone Programming (SOCP) problem, ensuring equivalence to the original CCCP. For the joint case, an approximation is achieved by deriving suitable upper and lower bounds, which also leads to a SOCP formulation. Finally, numerical experiments on a signal processing application, specifically the Minimum Variance Beamforming problem with mismatch using MVDR, demonstrate that the proposed formalism outperforms existing approaches in the literature. A comparative analysis between the joint and individual CCCP cases is also included.

math.OC↗

arXiv2025

Convexity of chance constraints for elliptical and skewed distributions with copula structures dependent on decision variables

Chance constraints describe a set of given random inequalities depending on the decision vector satisfied with a large enough probability. They are widely used in decision making under uncertain data in many engineering problems. This paper aims to derive the convexity of chance constraints with row dependent elliptical and skewed random variables via a copula depending on decision vectors. We obtain best thresholds of the $r$-concavity for any real number $r$ and improve probability thresholds of the eventual convexity. We prove the eventual convexity with elliptical distributions and a Gumbel-Hougaard copula despite the copula's singularity near the origin. We determine the $α$-decreasing densities of generalized hyperbolic distributions by estimating the modified Bessel functions. By applying the $α$-decreasing property and a radial decomposition, we achieve the eventual convexity for three types of skewed distributions. Finally, we provide an example to illustrate the eventual convexity of a feasible set containing the origin.

math.OC↗

arXiv2024

Continuous-time optimal control for trajectory planning under uncertainty

This paper presents a continuous-time optimal control framework for the generation of reference trajectories in driving scenarios with uncertainty. A previous work presented a discrete-time stochastic generator for autonomous vehicles; those results are extended to continuous time to ensure the robustness of the generator in a real-time setting. We show that the stochastic model in continuous time can capture the uncertainty of information by producing better results, limiting the risk of violating the problem's constraints compared to a discrete approach. Dynamic solvers provide faster computation and the continuous-time model is more robust to a wider variety of driving scenarios than the discrete-time model, as it can handle further time horizons, which allows trajectory planning outside the framework of urban driving scenarios.

math.OC↗

arXiv2023

Distributionally robust chance constrained Markov decision process with Kullback-Leibler divergence

This paper considers the distributionally robust chance constrained Markov decision process with random reward and ambiguous reward distribution. We consider individual and joint chance constraint cases with Kullback-Leibler divergence based ambiguity sets centered at elliptical distributions or elliptical mixture distributions, respectively. We derive tractable reformulations of the distributionally robust individual chance constrained Markov decision process problems and design a new hybrid algorithm based on the sequential convex approximation and line search method for the joint case. We carry out numerical tests with a machine replacement problem.

math.OC↗

arXiv2023

Optimization-Informed Neural Networks

Solving constrained nonlinear optimization problems (CNLPs) is a longstanding problem that arises in various fields, e.g., economics, computer science, and engineering. We propose optimization-informed neural networks (OINN), a deep learning approach to solve CNLPs. By neurodynamic optimization methods, a CNLP is first reformulated as an initial value problem (IVP) involving an ordinary differential equation (ODE) system. A neural network model is then used as an approximate solution for this IVP, with the endpoint being the prediction to the CNLP. We propose a novel training algorithm that directs the model to hold the best prediction during training. In a nutshell, OINN transforms a CNLP into a neural network training problem. By doing so, we can solve CNLPs based on deep learning infrastructure only, without using standard optimization solvers or numerical integration solvers. The effectiveness of the proposed approach is demonstrated through a collection of classical problems, e.g., variational inequalities, nonlinear complementary problems, and standard CNLPs.

math.OC↗

arXiv2022

Distributionally robust chance-constrained Markov decision processes

Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to a controlled Markov chain. Many algorithms including linear programming methods are available in the literature to compute an optimal policy when the rewards and transition probabilities are deterministic. In this paper, we consider an MDP problem where the transition probabilities are known and the reward vector is a random vector whose distribution is partially known. We formulate the MDP problem using distributionally robust chance-constrained optimization framework under various types of moments based uncertainty sets, and statistical-distance based uncertainty sets defined using phi-divergence and Wasserstein distance metric. For each type of uncertainty set, we consider the case where a random reward vector has either a full support or a nonnegative support. For the case of full support, we show that the distributionally robust chance-constrained Markov decision process is equivalent to a second-order cone programming problem for the moments and phi-divergence distance based uncertainty sets, and it is equivalent to a mixed-integer second-order cone programming problem for an Wasserstein distance based uncertainty set. For the case of nonnegative support, it is equivalent to a copositive optimization problem and a biconvex optimization problem for the moments based uncertainty sets and Wasserstein distance based uncertainty set, respectively. As an application, we study a machine replacement problem and illustrate numerical experiments on randomly generated instances.

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