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frequencies is available, in such a way that the sum of the transportation and inventory costs is minimized. This problem, which … is known to be NP-hard, has applications in transportation planning and in location analysis. In this paper we derive …
Persistent link: https://www.econbiz.de/10009204346
In this paper, we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion model. We apply the asymptotic expansion method to find the approximate value of the lower bound of European basket call prices. If the local volatility function is time...
Persistent link: https://www.econbiz.de/10010883224
-charge transportation problem (FCTP). The procedure itself is very quick. The proposed method solves FCTP by decomposing the problem into …
Persistent link: https://www.econbiz.de/10011117661
, which includes the Steiner tree problem, uncapacitated lot-sizing problems, and the fixed charge transportation problem as …
Persistent link: https://www.econbiz.de/10005043458
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The problem of finding a maximin Latin hypercube design in two dimensions can be described as positioning n non-attacking rooks on an n x n chessboard such that the minimal distance between pairs of rooks is maximized.Maximin Latin hypercube designs are important for the approximation and...
Persistent link: https://www.econbiz.de/10011090862
In this paper, we propose two sets of theoretically filtered bound-factor constraints for constructing reformulation-linearization technique (RLT)-based linear programming (LP) relaxations for solving polynomial programming problems. We establish related theoretical results for convergence to a...
Persistent link: https://www.econbiz.de/10010896447
We consider the problem of the global minimization of a function observed with noise. This problem occurs for example when the objective function is estimated through stochastic simulations. We propose an original method for iteratively partitioning the search domain when this area is a nite...
Persistent link: https://www.econbiz.de/10010898498