Decision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool developed to deal with optimization with uncertainties that has found applications in, e.g. finance, such as asset-liability and bond-portfolio management. Computationally...

<Para ID="Par1">The unit commitment problem, aims at computing the production schedule that satisfies the offer-demand equilibrium at minimal cost. Often such problems are considered in a deterministic framework. However uncertainty is present and non-negligible. Robustness of the production schedule is...</para>

We consider two-stage risk-averse stochastic optimization problems with a stochastic ordering constraint on the recourse function. Two new characterizations of the increasing convex order relation are provided. They are based on conditional expectations and on integrated quantile functions: a...

Two trust regions algorithms for unconstrained nonlinear optimization problems are presented: a monotone and a nonmonotone one. Both of them solve the trust region subproblem by the spectral projected gradient (SPG) method proposed by Birgin, Martínez and Raydan (in SIAM J. Optim....

The Traveling Salesman Problem can be found in many practical situations, from the distribution of goods, mail delivery or planning of routes for customer service to the design of best ring topology that will connect computers

Purpose – The purpose of this paper is to present a procedure for finding the efficient frontier, i.e. a non-decreasing curve representing the set of Pareto-optimal or non-dominated portfolios, when the standard Markowitz' classical mean-variance model is enriched with additional constraints....

Purpose – The financial crisis has led the Basel Committee to improve the system of capital requirements for market risks. This paper aims to investigate the effects of different models to estimate the market risk in the management of the trading book. The study takes into account the events...

We study an infinite horizon model, where a seller orders his product in batches of fixed size. A sales strategy determines both the order moments and the sales path between these moments. Under some natural conditions on the sellers revenue function, the strategy that maximizes the sellers...

The choice network revenue management (RM) model incorporates customer purchase behavior as customers purchasing products with certain probabilities that are a function of the offered assortment of products, and is the appropriate model for airline and hotel network revenue management, dynamic...

The choice network revenue management (RM) model incorporates customer purchase behavior as customers purchasing products with certain probabilities that are a function of the offered assortment of products, and is the appropriate model for airline and hotel network revenue management, dynamic...