Abstract
This paper introduces the family of CVaR norms in \({\mathbb {R}}^{n}\), based on the CVaR concept. The CVaR norm is defined in two variations: scaled and non-scaled. The well-known \(L_{1}\) and \(L_{\infty }\) norms are limiting cases of the new family of norms. The D-norm, used in robust optimization, is equivalent to the non-scaled CVaR norm. We present two relatively simple definitions of the CVaR norm: (i) as the average or the sum of some percentage of largest absolute values of components of vector; (ii) as an optimal solution of a CVaR minimization problem suggested by Rockafellar and Uryasev. CVaR norms are piece-wise linear functions on \({\mathbb {R}}^{n}\) and can be used in various applications where the Euclidean norm is typically used. To illustrate, in the computational experiments we consider the problem of projecting a point onto a polyhedral set. The CVaR norm allows formulating this problem as a convex or linear program for any level of conservativeness.
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Acknowledgments
Authors would like to thank the referees for their comments and suggestions, which helped to improve the quality of the paper. Authors are also grateful to Prof. Donald W. Hearn, University of Florida, for valuable general comments and suggestions.
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This research has been supported by the AFOSR grant FA9550-11-1-0258, “New Developments in Uncertainty: Linking Risk Management, Reliability, Statistics and Stochastic Optimization”
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Pavlikov, K., Uryasev, S. CVaR norm and applications in optimization. Optim Lett 8, 1999–2020 (2014). https://doi.org/10.1007/s11590-013-0713-7
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DOI: https://doi.org/10.1007/s11590-013-0713-7