For ensuring network survivability in case of single component failures many routing protocols provide a primary and a back up routing path for each origin destination pair. We address the problem of selecting these paths such that in the event of multiple failures, occuring with given probabilities, the total loss in routable demand due to both paths being intersected is small with high probability. We present a chance constraint model and solution approaches based on an explicit integer programming formulation, a robust formulation and a cutting plane approach that yield reasonably good solutions assuming that the failures are caused by at most two elementary events, which may each affect several network components.

For ensuring network survivability in case of single component failures many routing protocols provide a primary and a back up routing path for each origin destination pair. We address the problem of selecting these paths such that in the event of multiple failures, occuring with given probabilities, the total loss in routable demand due to both paths being intersected is small with high probability. We present a chance constraint model and solution approaches based on an explicit integer programming formulation, a robust formulation and a cutting plane approach that yield reasonably good solutions assuming that the failures are caused by at most two elementary events, which may each affect several network components.

In dieser Dissertation werden Amerikanischen Optionen in einem unvollst¨andigen Markt und in stetiger Zeit untersucht. Die Dissertation besteht aus zwei Teilen. Im ersten Teil untersuchen wir ein stochastisches Optimierungsproblem, in dem ein konvexes robustes Verlustfunktional ueber einer Menge von stochastichen Integralen minimiert wird. Dies Problem tritt auf, wenn der Verkaeufer einer Amerikanischen Option sein Ausfallsrisiko kontrollieren will, indem er eine Strategie der partiellen Absicherung benutzt. Hier quantifizieren wir das Ausfallsrisiko durch ein robustes Verlustfunktional, welches durch die Erweiterung der klassischen Theorie des erwarteten Nutzens durch Gilboa und Schmeidler motiviert ist. In einem allgemeinen Semimartingal-Modell beweisen wir die Existenz einer optimalen Strategie. Unter zusaetzlichen Kompaktheitsannahmen zeigen wir, wie das robuste Problem auf ein nicht-robustes Optimierungsproblem bezueglich einer unguenstigsten Wahrscheinlichkeitsverteilung reduziert werden kann. Im zweiten Teil untersuchen wir die obere und die untere Snellsche Einhuellende zu einer Amerikanischen Option. Wir konstruieren diese Einhuellenden fuer eine stabile Familie von aequivalenten Wahrscheinlichkeitsmassen; die Familie der aequivalentenMartingalmassen ist dabei der zentrale Spezialfall. Wir formulieren dann zwei Probleme des robusten optimalen Stoppens. Das Stopp-Problem fuer die obere Snellsche Einhuellende ist durch die Kontrolle des Risikos motiviert, welches sich aus der Wahl einer Ausuebungszeit durch den Kaeufer bezieht, wobei das Risiko durch ein kohaerentes Risikomass bemessen wird. Das Stopp-Problem fuer die untere Snellsche Einhuellende wird durch eine auf Gilboa und Schmeidler zurueckgehende robuste Erweiterung der klassischen Nutzentheorie motiviert. Mithilfe von Martingalmethoden zeigen wir, wie sich optimale Loesungen in stetiger Zeit und fuer einen endlichen Horizont konstruieren lassen. / This thesis studies American options in an incomplete financial market and in continuous time. It is composed of two parts. In the first part we study a stochastic optimization problem in which a robust convex loss functional is minimized in a space of stochastic integrals. This problem arises when the seller of an American option aims to control the shortfall risk by using a partial hedge. We quantify the shortfall risk through a robust loss functional motivated by an extension of classical expected utility theory due to Gilboa and Schmeidler. In a general semimartingale model we prove the existence of an optimal strategy. Under additional compactness assumptions we show how the robust problem can be reduced to a non-robust optimization problem with respect to a worst-case probability measure. In the second part, we study the notions of the upper and the lower Snell envelope associated to an American option. We construct the envelopes for stable families of equivalent probability measures, the family of local martingale measures being an important special case. We then formulate two robust optimal stopping problems. The stopping problem related to the upper Snell envelope is motivated by the problem of monitoring the risk associated to the buyer’s choice of an exercise time, where the risk is specified by a coherent risk measure. The stopping problem related to the lower Snell envelope is motivated by a robust extension of classical expected utility theory due to Gilboa and Schmeidler. Using martingale methods we show how to construct optimal solutions in continuous time and for a finite horizon.

No description available.

SLAM (Simultaneous Localization And Mapping) has been a very active and almost ubiquitous problem in the field of mobile and autonomous robotics for over two decades. For many years, filter-based methods have dominated the SLAM literature, but a change of paradigms could be observed recently. Current state of the art solutions of the SLAM problem are based on efficient sparse least squares optimization techniques. However, it is commonly known that least squares methods are by default not robust against outliers. In SLAM, such outliers arise mostly from data association errors like false positive loop closures. Since the optimizers in current SLAM systems are not robust against outliers, they have to rely heavily on certain preprocessing steps to prevent or reject all data association errors. Especially false positive loop closures will lead to catastrophically wrong solutions with current solvers. The problem is commonly accepted in the literature, but no concise solution has been proposed so far. The main focus of this work is to develop a novel formulation of the optimization-based SLAM problem that is robust against such outliers. The developed approach allows the back-end part of the SLAM system to change parts of the topological structure of the problem\'s factor graph representation during the optimization process. The back-end can thereby discard individual constraints and converge towards correct solutions even in the presence of many false positive loop closures. This largely increases the overall robustness of the SLAM system and closes a gap between the sensor-driven front-end and the back-end optimizers. The approach is evaluated on both large scale synthetic and real-world datasets. This work furthermore shows that the developed approach is versatile and can be applied beyond SLAM, in other domains where least squares optimization problems are solved and outliers have to be expected. This is successfully demonstrated in the domain of GPS-based vehicle localization in urban areas where multipath satellite observations often impede high-precision position estimates.

SLAM (Simultaneous Localization And Mapping) has been a very active and almost ubiquitous problem in the field of mobile and autonomous robotics for over two decades. For many years, filter-based methods have dominated the SLAM literature, but a change of paradigms could be observed recently. Current state of the art solutions of the SLAM problem are based on efficient sparse least squares optimization techniques. However, it is commonly known that least squares methods are by default not robust against outliers. In SLAM, such outliers arise mostly from data association errors like false positive loop closures. Since the optimizers in current SLAM systems are not robust against outliers, they have to rely heavily on certain preprocessing steps to prevent or reject all data association errors. Especially false positive loop closures will lead to catastrophically wrong solutions with current solvers. The problem is commonly accepted in the literature, but no concise solution has been proposed so far. The main focus of this work is to develop a novel formulation of the optimization-based SLAM problem that is robust against such outliers. The developed approach allows the back-end part of the SLAM system to change parts of the topological structure of the problem\'s factor graph representation during the optimization process. The back-end can thereby discard individual constraints and converge towards correct solutions even in the presence of many false positive loop closures. This largely increases the overall robustness of the SLAM system and closes a gap between the sensor-driven front-end and the back-end optimizers. The approach is evaluated on both large scale synthetic and real-world datasets. This work furthermore shows that the developed approach is versatile and can be applied beyond SLAM, in other domains where least squares optimization problems are solved and outliers have to be expected. This is successfully demonstrated in the domain of GPS-based vehicle localization in urban areas where multipath satellite observations often impede high-precision position estimates.