The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a variety of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints in practice. The...

We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (SJ, 2012). They used an inefficient version of the nested fixed point algorithm that relies on successive...

We examine the problem of approximating, in the Frobenius-norm sense, a positive, semidefinite symmetric matrix by a rank-one matrix, with an upper bound on the cardinality of its eigenvector. The problem arises in the decomposition of a covariance matrix into sparse factors, and has wide...

This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

When a disaster strikes an area, often international assistance is requested to help responding to and recovering from the disaster. The response is often characterized by the dispatch of relief items to the affected regions via depots from Humanitarian Logistics Service Providers (HLSPs). One...

We introduce a novel approach to solving dynamic programming problems, such as those in many economic models, on a quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP-hard problem by starting in a quantum superposition of all...

We introduce a novel approach to solving dynamic programming problems, such as those in many economic models, on a quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP-hard problem by starting in a quantum superposition of all...

Various plants and resources such as orchards are vulnerable to the detrimental effects of successful invasions by alien animal or plant species. To outline an appropriate policy response, we first use renewal theory to construct a stochastic model of optimal orchard management in the presence...

The statistical properties of the efficiency estimators based on Data Envelopment Analysis (DEA) are largely unknown. Recent work by Simar et al. and Banker has shown the consistency of the DEA estimators under specific assumptions, and Banker proposes asymptotic tests of whether two subsamples...

Various plants and resources such as orchards are vulnerable to the detrimental effects of successful invasions by alien animal or plant species. To outline an appropriate policy response, we first use renewal theory to construct a stochastic model of optimal orchard management in the presence...