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Heuristics for exact nonnegative matrix factorization

Gillis, Nicolas; Glineur, François; Tuyttens, Daniel; … - Center for Operations Research and Econometrics (CORE), … - 2015

X = WH. In this paper, we propose two heuristics for exact NMF, one inspired from simulated annealing and the other from … the greedy randomized adaptive search procedure. We show that these two heuristics are able to compute exact nonnegative … also consider a hybridization between these two heuristics that allows us to combine the advantages of both methods …

Persistent link: https://www.econbiz.de/10011246293

Niche search: an application to the Manhattan newspaper problem

PEDROSO, João Pedro - Center for Operations Research and Econometrics (CORE), … - 1997

local search method to an evolutionary algorithm, and we provide an application to the Manhattan newspaper problem. The … niche search, an algorithm based on the evolution of several independent niches. Niches whose individuals’ fitness is good …

Persistent link: https://www.econbiz.de/10005042972

Revenue management for operations with urgent orders

LAMAS, Alejandro; MLINAR, Tanja; CHEVALIER, Philippe - Center for Operations Research and Econometrics (CORE), … - 2013

This article is motivated by the case of a company manufacturing industrial equipment that faces two types of demand: on the one hand there are the so-called regular orders for installations or refurbishing of existing facilities, these orders have a relatively long lead time; on the other hand...

Persistent link: https://www.econbiz.de/10010927721

LS-LIB: a library of reformulations, cut separation algorithms and primal heuristics in a high-level modeling language for solving MIP production planning problems

POCHET, Yves; VAN VYVE, Mathieu; WOLSEY, Laurence A. - Center for Operations Research and Econometrics (CORE), … - 2005

generation, and heuristics to find good feasible solutions quickly. The user must provide an initial formulation of his problem …

Persistent link: https://www.econbiz.de/10005042884

A branch-and-cut algorithm for the single commodity uncapacitated fixed charge network flow problem.

ORTEGA, Francisco; WOLSEY, Laurence - Center for Operations Research and Econometrics (CORE), … - 2000

We present a branch-and-cut algorithm to solve the single commodity uncapacitated fixed charge network flow problem …-nd includes a separation heuristic for the dicut inequalities, and problem specific primal heuristics, branching and pruning rules …

Persistent link: https://www.econbiz.de/10005043458

Marginal likelihood for Markov-switching and change-point GARCH models

BAUWENS, Luc; DUFAYS, Arnaud; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...

Persistent link: https://www.econbiz.de/10010610474

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.

Bauwens, L.; Bos, C.S.; Van Dijk, H.K. - Center for Operations Research and Econometrics (CORE), … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

Persistent link: https://www.econbiz.de/10005779535

Climate coalitions: a theoretical and computational appraisal

BRECHET, Thierry; GERARD, François; TULKENS, Henry - Center for Operations Research and Econometrics (CORE), … - 2007

Using an updated version of the CWS model (introduced by Eyckmans and Tulkens in Resource and Energy Economics 2003), this paper intends to evaluate with numbers the respective merits of two competing notions of coalition stability in the standard global public goods model as customarily applied...

Persistent link: https://www.econbiz.de/10005008179

Bayesian option pricing using asymmetric GARCH

BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The...

Persistent link: https://www.econbiz.de/10005008451

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

BAUWENS, Luc; BOS, Charles S.; DIJK, Herman K. VAN - Center for Operations Research and Econometrics (CORE), … - 1999

transformation to polar coordinates are used. After the transformation to polar coordinates, a MetropolisHastings algorithm is …

Persistent link: https://www.econbiz.de/10005042753