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Computation of business-cycle models with the Generalized Schur Method
Heer, Burkhard; Maußner, Alfred - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. …
Persistent link: https://www.econbiz.de/10010275804
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Online allocation and pricing : constant regret via Bellman inequalities
Vera, Alberto; Banerjee, Siddartha; Gurvich, Itai - In: Operations research 69 (2021) 3, pp. 821-840
Persistent link: https://www.econbiz.de/10012546874
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A variable neighborhood search simheuristic algorithm for reliability optimization of smart grids under uncertainty
Antoniadis, Nikolaos; Cordy, Maxime; Sifaleras, Angelo; … - In: International transactions in operational research : a … 29 (2022) 4, pp. 2172-2200
Persistent link: https://www.econbiz.de/10012815150
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Reinforcement learning and stochastic optimisation
Jaimungal, Sebastian - In: Finance and stochastics 26 (2022) 1, pp. 103-129
Persistent link: https://www.econbiz.de/10012796477
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Staffing to stabilize the tail probability of delay in service systems with time-varying demand
Liu, Yunan - In: Operations research 66 (2018) 2, pp. 514-534
Persistent link: https://www.econbiz.de/10011846009
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Adaptive coordinate sampling for stochastic primal-dual optimization
Liu, Huikang; Wang, Xiaolu; So, Anthony Man-Cho - In: International transactions in operational research : a … 29 (2022) 1, pp. 24-47
Persistent link: https://www.econbiz.de/10012630720
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Multiproduct newsvendor problem with customer-driven demand substitution : a stochastic integer program perspective
Zhang, Jie; Sarin, Subhash Chander - In: INFORMS journal on computing : JOC 33 (2021) 3, pp. 1229-1244
Persistent link: https://www.econbiz.de/10012631674
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A two stage stochastic programming for asset protection routing and a solution algorithm based on the Progressive Hedging algorithm
Bashiri, Mahdi; Nikzad, Erfaneh; Eberhard, Andrew; … - In: Omega : the international journal of management science 104 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012648548
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Stochastic Analysis, Stochastic Systems, and Applications to Finance.
Tsoi, Allanus - 2011
Key Features:This book discusses some frontiers of Gaussian processes analysis and their associated Wick-Ito formula. For the first time, the studies of fractional Brownian motion is put into the framework of fractional white noise multiplication operatorsSome up-to-date treatment is of the...
Persistent link: https://www.econbiz.de/10012689398
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Directed particle swarm optimization with Gaussian-process-based function forecasting
Jakubik, Johannes; Binding, Adrian; Feuerriegel, Stefan - In: European journal of operational research : EJOR 295 (2021) 1, pp. 157-169
Persistent link: https://www.econbiz.de/10012595958