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A pure binary LP model to the facility layout problem
Papahristodoulou, Christos - 1999
In facility layout problems, a major concern is the optimal design or remodeling of the facilities of an organization. The decision maker s objective is to arrange the facility in an optimal way, so that the interaction among functions (i.e. machines, inventories, persons) and places (i.e....
Persistent link: https://www.econbiz.de/10011587531
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Kuhn-Tucker theorem foundations and its basic application in the mathematical economics
Josheski, Dushko; Gelova, Elena - 2013
In this paper the issue of mathematical programming and optimization has being revisited. The theory of optimization … introduced the use of these mathematical methods of optimization in economics. …
Persistent link: https://www.econbiz.de/10011525770
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Dynamic mean-variance optimisation problems with deterministic information
Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017
We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...
Persistent link: https://www.econbiz.de/10011865489
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Approximate results for a generalized secretary problem
Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010
A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...
Persistent link: https://www.econbiz.de/10011381898
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Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...
Persistent link: https://www.econbiz.de/10009558490
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Approximate dynamic programming with postdecision states as a solution method for dynamic economic models
Hull, Isaiah - 2013
I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in...
Persistent link: https://www.econbiz.de/10010202969
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Approximate solutions to dynamic models : linear methods
Uhlig, Harald (contributor) - 2006
Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...
Persistent link: https://www.econbiz.de/10003324430
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An axiomatization of the Euclidean compromise solution
Voorneveld, Mark (contributor);  … - 2008 - This version: October 13, 2008
The utopia point of a multicriteria optimization problem is the vector that specifies for each criterion the most … favourable among the feasible values. The Euclidean compromise solution in multicriteria optimization is a solution concept that …. -- Consistency ; Euclidean compromise solution ; Multicriteria optimization …
Persistent link: https://www.econbiz.de/10003766834
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Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Guo, Ivan - 2020
This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport problem under a finite number of discrete constraints, in the spirit of [arXiv:1906.06478]. We introduce a PDE...
Persistent link: https://www.econbiz.de/10012837844
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Assortment Optimization over Dense Universe is Easy
Goutam, Kumar - 2020
Assortment optimization is an important problem in revenue management arising in industries such as online advertising …, retailing and airline ticketing. We study assortment optimization under an arbitrary mixture of multi-nomial logit (MNL) models …, when the universe of products is dense. In general, it is NP-hard to approximate assortment optimization under mixture of …
Persistent link: https://www.econbiz.de/10012828531