Part 1: Lessons -- Chapter 1: Introduction -- Chapter 2: IBM ILOG CPLEX Optimization Studio—A primer -- Chapter 3: Setting up a model -- Chapter 4: Data structures and related OPL language elements -- Chapter 5: Introduction to IBM ILOG Script -- Chapter 6: Modeling with tuples -- Chapter 7:...

This paper presents an optimum solution of the economic dispatch (ED) problem without considering transmission losses using linear programming (LP). In the ED problem, several on-line units (generators) are available, and it is needed to determine the power to produce by each unit in order to...

Abstract Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing...

Abstract The statistical functional expectile has recently attracted the attention of researchers in the area of risk management, because it is the only risk measure that is both coherent and elicitable. In this article, we consider the portfolio optimization problem with an expectile objective....